Suppose we have a well diversified $5M portfolio with a Beta of 1.75. We want to create a delta hedge using S&P500 index futures.

The index is currently at 3,105.30 and Dec. index futures are currently trading at 3,108.6.

Suppose over the next few weeks the market drops 5%.

What is your total profit or loss when the market dropped 5%?

	A.	gained $1,446.25
	B.	lost $1,446.25
	C.	lost $436,053.75
	D.	lost $437,500