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Level II
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Derivatives
Derivatives
Medium
A market maker at Ironbridge Capital is short 200 call option contracts (each covering 100 shares) on Thornton Electric with a delta of 0.55. To establish a delta-neutral hedge, the market maker should:
A
Buy 11,000 shares of Thornton Electric
B
Sell 11,000 shares of Thornton Electric
C
Buy 110 shares of Thornton Electric
D
Buy 55,000 shares of Thornton Electric
Select an answer to continue
Tags
#delta-hedging
#delta-neutral
#market-making
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