Suppose You Are Managing a Stock Portfolio with a Current

Multiple Choice

Suppose you are managing a stock portfolio with a current market value of $3.7 million and a portfolio beta of 1.465. You would like to write 20 call options against the portfolio using July 580 OEX 100 index call options that have a premium of $7.30 and a delta of 0.651. The S&P 100 index closed at 541.86. You also have used the Black Scholes model to calculate that the delta of an at-the-money call option is 0.515. How many at-the-money contracts of the index are equivalent to your portfolio?

A) 80 contracts
B) 100 contracts
C) 120 contracts
D) 140 contracts