ABC Fund Managers currently have a large holding of CLO Mining shares in their portfolio. The portfolio manager is a little concerned about the prospects of the equity market over the next three months, predicting a fall of 15% across the market, and so is seeking to protect the value of the investment using an option strategy.

The current share price is $25.20, and at-the-money options (options with an exercise price equal to the current share price) are priced as follows:

Put / Call	Time to expiry	Premium / Price
Call	2 months	$1.10
Put	2 months	$0.95
Call	3 months	$1.70
Put	3 months	$1.55

Calculate the break-even price of your suggested strategy .

Select one:

a. 23.50

b. 24.25

c. 23.65