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

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The Answer of 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

Suppose You Are Managing a Stock Portfolio with a Current