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)75,000.B)14,785.C)0.

To create a delta-neutral hedge, you need to make sure that the total delta of your position is zero. This means that any change in the price of the underlying asset (in this case, the shares of Smith & Oates) is offset by a change in the price of the options.

The delta of the shares of Smith & Oates is 1, because for each $1 change in the price of the shares, the value of the shares changes by the same amount. Since BIC owns 51,750 shares, the total delta of the shares is 51,750.

The delta of the call options is 0.69, which means that for each $1 change in the price of the shares, the value of the options changes by$0.69. To offset the delta of the shares, you need to find the number of options that gives a total delta of -51,750 (because the delta of the options must be the opposite of the delta of the shares to create a delta-neutral position).

You can find this number by dividing the total delta of the shares by the delta of the options:

-51,750 / 0.69 = -75,000

So, you need to buy 75,000 call options to create a delta-neutral hedge. Therefore, the answer is A) 75,000.