The Quant 7554 / 75
EasyOptions & Greeks
Delta Hedging
OptiverCitadel Securities
You are short 100 call options, each with delta 0.4 (each option on 1 share). How many shares do you buy or sell to be delta-neutral?
Approach
Total option delta = quantity × per-option delta.
Offset it with shares (delta 1 each).
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