An American put option on ABC has a strike price $13.4. The current price of ABC shares is $22. The put option is selling in the market for a premium of $15.8. After a quick analysis, you identified there is an arbitrage opportunity to set up an investment with no investment today but capture a positive profit in 1 year's time. Assume the risk-free rate is 4.2% and the option has one year to expiry. Calculate what is the arbitrage profit at the maturity date if the share price is above the strike price. (Keep 2 decimal places) QUESTION 11 A portfolio is currently worth $413 million and the portfolio is tracking the market index very well. The market index is currently standing at 4101. You decided to long put options to protect the value of the portfolio from the market volatilities in future. You have chosen the put option with a strike of 3412 . How many put contracts do you need to long to provide the insurance? (Round to the nearest integer) Click Save and Submit to save and submit. Click Save All Answers to save all answers