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On March 7 a manager decides they want to protect their portfolio valued at $92,500,000 for 73 days buying puts. The portfolio's beta is 1.4,
On March 7 a manager decides they want to protect their portfolio valued at $92,500,000 for 73 days buying puts. The portfolio's beta is 1.4, the index annual dividend payout ratio was 4% while the portfolio paid a 6% annual dividend. The risk-free rate is 5%, and the value of the S&P is 1,295 on March 7 with a multiplier of $100. If the manager purchased 1,000 May puts valued at $7, what is the protection level (percentage of insurance) achieved by entering this position?
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