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| BIC owns 51,750 shares of Smith & Oates. The shares are currently priced at $69. A call option on Smith & Oates with a strike price of $70 is selling at $3.50, and has a delta of 0.69 What is the number of call options necessary to create a delta-neutral hedge? A. 14,785. B. 0. C. 75,000. |