The delta hedging of an option.
A stock is selling for S0 with a volatility of σ in percent. Consider a call option on the stock with an exercise price of X and an expiration of one year. The risk-free rate is 4.5 percent. Let the call be selling for its Black–Scholes–Merton value. You construct a delta-hedged position involving the sale of and the purchase of an appropriate number of shares. You can buy and sell shares and 10,000 calls only in whole numbers. At the end of the next day, the stock is at S1. You then adjust your position accordingly to maintain the delta hedge. The following day the stock closes at S2. In all cases, to calculate the call price you use the values, depending on your group number, given below:
S0 140 S1 133 S2 130 X 115 O 38%

Implement the delta hedging strategy of the option mentioned above with the values given in the table above.