Question 50 Not yet answered ABC Fund Managers currently have a large holding of CLO Mining shares in their portfolio. The portfolio manager is a little concerned about the prospects of the equity market over the next three months, predicting a fall of 15% across the market, and so is seeking to protect the value of the investment using an option strategy. The current share price is $25.20, and at-the-money options (options with an exercise price equal to the current share price) are priced as follows: Marked out of 1.00 P Flag question Put/ Call Time to expiry Premium / Price Call 2 months $1.10 Put 2 months $0.95 Call 3 months $1.70 Put 3 months $1.55 Calculate the break-even price of your suggested strategy. Select one: O a. 24.25 O b. 23.65 O c. 23.50