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A portfolio manager in charge of a portfolio worth $10 million is concerned that the...

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Finance

A portfolio manager in charge of a portfolio worth $10 million is concerned that the market might decline rapidly during the next six months and would like to use options on the S&P 100 to provide protection against the portfolio falling below $9.5 million. The S&P 100 index is currently standing at 500 and each contract is on 100 times the index. If the portfolio has a beta of 0.5 and the interest rate is 10%, how many put options and what strike price should be purchased?

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