Questions / Quant trading, Options & hedging
Hedge the delta units
You are long 10 call contracts, each covering 100 shares, with delta 0.6 per share-equivalent. How many shares must be sold to make total delta zero?
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Answer: 600 shares
- Option delta is 10 × 100 × 0.6 = +600 shares. Selling 600 contributes −600.
Interview shortcut. Contracts × multiplier × delta = 10 × 100 × 0.6.
In the app this has a follow-up where one thing about the setup changes. Try the follow-up.