Calculating the number of index puts to use for downside protection requires
A) the option delta.
B) the option gamma.
C) The option theta.
D) The option premium.

Question

Quizplus · Accepted Answer

The option delta is required for calculating the number of index puts needed for downside protection because it measures the rate of change of the option's price relative to a one-point change in the underlying index. This helps in determining how many puts are needed to hedge a portfolio.

Calculating the Number of Index Puts to Use for Downside