An equity portfolio manager (PM) has a concentrated portfolio. The portfolio consists of 1,000 shares of Tesla (TSLA) and 1,000 share of Walmart (WMT). The PM wants to immunize the portfolio against a large drop in the US stock market due to a sharp rise in perceived systemic risk.

Market: CME S&P 500 E-mini futures (Symbol ES) is amongst the world's most active and liquid future contracts.

1. Suggest a specific trade¹ that would likely meet the PMs objective Using CME's ES product. Please use current market data in your calculations.

1. Briefly describe a statistical technique the PM could use to estimate the relationship between the variability of her portfolio price performance against the market as a whole.

1. Briefly describe the settlement procedures for CME's ES contracts.

1. Specific trade means what is says. Provide as much detail as possible, e.g., size, initial price, contract month, direction, etc....