A trader decides to protect her portfolio with a put option. The portfolio is worth $150 million and the required put option has a strike price of $145 million with a maturity of 24 weeks. The volatility of the portfolio is 15% and the dividend yield on the portfolio is 3% per annum. The risk-free rate is 2%. Because this option is not available on any exchange, the trader decides to create an option by maintaining a position in the underlying portfolio with the required delta. What percentage of the original portfolio should be sold and invested at the risk-free rate:

Initially at time zero?

After one week, when the value is $145 million?

After three weeks when the value is $135 million