Fisher Black manages $60 million equity portion of Gamma Corporation's Pension assets. In Late August 2015 Gamma announced that it was downsizing its workforce and would be offering early retirement to many of the older employees. The impact on the portfolio Fisher manages would be an anticipated $10 million withdrawal over the next 4 months. The stock ha been good for the past 5 years, but recently there have been signs of bearishness. Fisher is concerned about the drop is asset prices before the $10 million is withdrawn from the portfolio. Fisher runs a fairly aggressive portfolio with a beta, , of 1.6, relative to the S&P500 Index. The following were the prevailing S&P500 future prices:

Expiration Contract Value ($250 * Index)

SEP15 2088.50

DEC15 2100.00

MAR16 2110.50

a) How much of the portfolio should Fisher have hedged? Justify your answer.

b) Design a hedge based on your answer to part a) above.