Currently, a non-dividend-paying stock is worth $40. Over the next 9 months, it is expected that the stock price will either be $50 or $30. If the investor writes a call option with a strike price of $43, what should be the delta to create a riskless portfolio?
Short 0.95 shares for each call option sold
Short 0.4 shares for each call option sold
Buy 0.35 shares for each call option sold
Buy 0.6 shares for each call option sold