Suppose that a futures contract on the RTD400 maturing in nine months is used to create the option in Problem 17-8 synthetically. In this case T=.5 for the option and T^*=.75 for the futures contracts. The portfolio is worth 100,000 times the index (A₁) and each index futures contract is on 250 times the index (A₂).

To initiate the portfolio insurance strategy when the portfolio is at its starting value of $90 million, what position in the futures contract should be taken? (Hint: Delta for a futures contract is different from the delta of the underlying asset.)

Round your answer to the nearest full number of contracts. Use a negative sign to indicate a short position in the futures.