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To create a delta-neutral portfolio, an investor who has written 5,000 call options that have deltas equal to 0.5 will be: A. long 2,500 shares in the underlying. B. short 2,500 shares in the underlying. C. long 2,500 shares in the underlying and short 2,500 more options. D. short 2,500 shares in the underlying and be short 2,500 more options. |