Oakleaf Partners is a large cap closed end fund with $100 million in assets. The manager of the fund is nervous of the market downturns and would like to protect the downside without giving up the upside. The manager is able to sustain a decline of about 10% in value of assets. Using S&P 500 puts, calculate the cost of buying insurance for the fund. Show all your calculations and justify the choice of the puts. The option contract is cash settled and has a multiplier of $250. Use the internet to calculate option prices. Current level of the S&P 500 is 3,740.