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Jill Pope, CFA, is a portfolio manager in the United States and has been using a delta hedge strategy using $/yen put conracts on her 10,000,000 yen security portfolio. The delta is -0.80. Other things equal, in dollar terms, a 0.100% decrease in the $/yen exchange rate would produce a: A. 0.1% decrease in the security portfolio and a 0.125% increase in each put purchased. B. 0.1% decrease in the security portfolio and a 0.080% increase in each put purchased. C. 0.1% increase in the security portfolio and a 0.080% increase in each put purchased. |