If you have a position delta of zero, you are delta neutral. How many puts do you have to buy to become delta natural? What would this cost?
Stock price = $33.50
Risk free rate = 8%
Dividends = 0
Put premium = $.5
Put delta = .181
Striking price = $30
Time until expiration in June = 77 days
Volatility = 33%
Call premium = $4.50
Call delta = .819