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. What would be the beta of your portfolio after writing 20 July 580 OEX index call options?

A) 0.895
B) 1.095
C) 1.295
D) 1.695