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The paragraph from the book does not describe the long-short action very clear. How many call options on index to long? How many call options on components to short? And with what weights?

You don't make it clear at all. Long call option on index is expected to be more profitable than short call option on components when correlation between components increases. Because option price reflects volatility show it could mean volatility of index would be higher. So the question is...

Can anyone help me calculate Delta for Bond Futures? I'm trying to model Var for Bond Futures, as far as I know I should use Delta approximation method which states Var of Bond Futures = Var of Underlying * Delta. And I don't know how to calculate this delta.