(b) In February 2022, the spot price of UK:GLEN is 372p. The price of a September Put option on GLEN with strike 380 is 47.25p and the price of a September Call option is 35.25p. A portfolio manager at National Pensions is concerned about reducing her portfolio risk and wishes to lock in a future value for GLEN shares. She proposes purchasing a Put option and selling a Call option both on GLEN for each share held. Assuming a risk free rate of r=1% explain whether you think that she has a sound financial strategy or not. = [5] (b) In February 2022, the spot price of UK:GLEN is 372p. The price of a September Put option on GLEN with strike 380 is 47.25p and the price of a September Call option is 35.25p. A portfolio manager at National Pensions is concerned about reducing her portfolio risk and wishes to lock in a future value for GLEN shares. She proposes purchasing a Put option and selling a Call option both on GLEN for each share held. Assuming a risk free rate of r=1% explain whether you think that she has a sound financial strategy or not. = [5]