Sir, Would you please write me to practise the example 'to estimate the no. of OTC put option contract... similar example like Dec 2010 Que Marengo. Thanks.
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Dec 2010 Que : Marengo - other similar example like this
9y ago#1This is a delta hedge, and you need to watch my free lectures on share options.
For a delta hedge using put options, the number of options needed is the number of shares divided by N(-d1).
N(-d1) = 0.5239, so the number of options they want is 200,000 / 0.5239 = 381,725
However they have to be bought in contracts of 1,000 options, which means 381,725 / 1,000 = 382 contracts.
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