1. Suppose we have a $10M portfolio that has a beta of .89. You decide to hedge this portfolio using S&P 500 index options. The S&P 500 index is currently at 3,557.54. You choose to use put options that expire in 30 days with a strike price of 3500. The risk free rate is .5%. The volatility of the S&P 500 is .22.

   This is the same data as the previous question.

   Suppose the S&P 500 index drops 5%. How much does the option position gain in value? (theoretically)

   	A.	$34,099
   	B.	$450,107
   	C.	500,000
   	D.	$445,000