Suppose you wanted to create a delta neutral straddle with AUG 45 call and put...
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Suppose you wanted to create a delta neutral straddle with AUG 45 call and put options (European style). The AUG45 call and put are trading $15.62 and $12.38, respectively. The option delta is 0.582 for the call. You have already bought 50 contracts of this AUG 45 call, how many AUG 45 put contracts do you need to buy to be delta neutral? How much is your initial investment?
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