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To: Bipin Prasad who wrote (49277)10/14/1999 1:09:00 PM
From: Carl R.  Read Replies (1) | Respond to of 53903
 
Nowhere that I know of. Sorry. And yes, it does turn it into a guess. As for the option writers, if they are short 1 put contract, and the delta is .67 my understanding is that they hedge by shorting 67 shares of stock, with the goal to keep their net delta close to zero. This doesn't prevent getting killed by a significant gap, however, and it does add to the volatility of the stock.

Carl