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Suppose we have a $5M portfolio that has a beta of .77. You decide to hedge this portfolio using S&P 500 equity index futuress. The

Suppose we have a $5M portfolio that has a beta of .77. You decide to hedge this portfolio using S&P 500 equity index futuress. The S&P 500 index is currently at 3,557.54. You short S &P 500 equity index futures at 3,551.50

How many futures contracts do you need to short to create a delta neutral portfolio?

	A.	2
	B.	4
	C.	10
	D.	22

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