Suppose that a portfolio is worth $60 million and a stock index stands at 1,200. Assume that the portfolio has a beta of 1.5, the risk-free interest rate is 5% per annum, and the dividend yield on both the portfolio and the index is 3% per annum. What options should be purchased to provide protection against the value of the portfolio falling below $54 million in one year's time? (Assume that one index option contract is on 100 times the index.)