A company has a $10 million stock portfolio with a beta of 2.0 when measured against the S\&P 500 stock inde The index level is 7,792 and the dividend yield on the index is 4% annually compounded. The futures price for a contract on the index with a delivery date in 6 months is 7,992 . Futures contracts on $250 times the index can be traded. The risk free rate is 6% annually compounded. Consider the following statements. 1. The futures contract is over-priced. II. If the company wanted to reduce the stock portfolio's beta by 25%, it should sell 6 futures contracts. Which of the following is correct? a. Statements I and II are incorrect. b. Statement I is incorrect, Statement II is correct. c. Statement I is correct, Statement II is incorrect. d. Statements I and II are correct