Suppose that JPMorgan Chase sells call options on $1.05 million worth of a stock portfolio with beta = 1.40. The option delta is .50. It wishes to hedge out its resultant exposure to a market advance by buying a market-index portfolio. Suppose it uses market index puts to hedge its exposure. Each put option is on 100 units of the index, and the index at current prices represents $1,000 worth of stock.