Suppose you are holding a $1 million portfolio and you want to protect yourself against the market downturns. You purchased 10 contracts of put options on S&P500 with a strike of 900. Suppose that the current level of SSP500 is 1,000 and each contract is worth $100, 000 = $100 x 1, 000. Suppose that after three months, the S&P500 drops to a level of 880. (a) Suppose your portfolio drops to $0.88 million in three months and you decide to close out all of your positions. What would be the balance? (b) Suppose your portfolio drops to $0.8 million in three months and you decide to close out all of your positions. What would be the balance? (c) What is the value of the basis risk? (d) What causes the basis risk in this case