What is the total dollar cost to create a delta hedge position against a 200 short call position? Assume calls are priced at $4.16,the delta is 0.7644,and stock price is $73.00.
A) $9,880
B) $10,328
C) $11,168
D) $12,660

Question

Quizplus · Accepted Answer

The total dollar cost to create a delta hedge position is calculated as follows:
Total cost = (delta x quantity x stock price) - (option price x quantity)
Here, quantity is 200, delta is 0.7644, option price is $4.16, and stock price is $73.00.
Total cost = (0.7644 x 200 x 73) - (4.16 x 200) = $10,327.68
Therefore, the closest option is B, which is $10,328.

What Is the Total Dollar Cost to Create a Delta