The S&P 500 index is currently at 3,300 points (spot). You manage a $90 million equity portfolio with a beta to the S&P500 of 1.2. The S&P 500 futures contract has a multiplier of $250.

a. If you are temporarily bearish on the stock market, how many contracts should you sell to fully hedge your exposure over the next six months?

b. The risk-free rate is 15 basis points per six months and the semi-annual dividend yield is .50%; what is the parity value for a six-months futures contract?