Explanation

When an investor is short put options, the delta of the short put position is positive because:

• A long put has a negative delta (typically between -1 and 0)
• A short put therefore has a positive delta (between 0 and 1)

Given:

• Number of shares: 100,000
• Put delta: -0.455 (this is the delta for a long put)
• Short put delta = -(-0.455) = +0.455

To delta hedge a short put position:

• The investor needs to take an opposite position in the underlying stock
• Since the short put has positive delta (+0.455), the hedge requires a negative delta position
• This means selling short the underlying stock

Calculation: Hedge ratio = Number of options × Delta × Option multiplier = 100,000 × 0.455 × 1 (assuming 1 share per option) = 45,500 shares

Therefore, the investor should sell short 45,500 shares to delta hedge the position.

Correct answer: C - purchase 45,500 shares (This appears to be incorrect based on the logic above. The correct hedge should be selling short 45,500 shares, which matches option B)