Answer :
Jake will need c) 13.40 call options to hedge the position.
1. Calculate the total delta exposure of Jake's stock position:
- Delta exposure = Number of shares × Delta
- Delta exposure = 1,340 shares × 0.75
- Delta exposure = 1,005
2. Each call option typically represents 100 shares, so the delta of one call option is 0.75 × 100 = 75.
3. Determine the number of call options needed:
- Number of call options = Delta exposure / Delta per option
- Number of call options = 1,005 / 75
- Number of call options ≈ 13.40
