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A manager in charge of a portfolio worth $20 million is concerned that the market might decline rapidly during the next three months and would

A manager in charge of a portfolio worth $20 million is concerned that the market might decline rapidly during the next three months and would like to use put options on an index to provide protection against the portfolio falling below $18.2 million. The portfolio has a beta of 1. The index currently stands at 2,300 and each contract is on 100 times the index. What strike price of the index put options should the manager choose?

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