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.

How many option contracts do you need to buy to create a delta neutral portfolio?

	A.	66
	B.	70
	C.	80
	D.	115