You are a provider of portfolio insurance and are establishing a 4-year program. The portfolio you manage is worth $130 million, and you hope to provide a minimum return of 0%. The equity portfolio has a standard deviation of 24% per year, and T-bills pay 5% per year. Assume that the portfolio pays no dividends.

What is the delta of the implicit put option conveyed by the portfolio insurance? Note: Do not round intermediate calculations. Negative amount should be indicated by a minus sign. Round your answer to 4 decimal places.

A: The put delta is: ___

How much of the portfolio should be sold and placed in bills? Note: Do not round intermediate calculations. Enter your answer in millions rounded to 2 decimal places.

B: T-bills: $45.75 million

What is the delta if the new portfolio falls by 4% on the first day of trading? Note: Do not round intermediate calculations. Negative amount should be indicated by a minus sign. Round your answer to 4 decimal places.

C: Delta of the portfolio: ___

Complete the following: Note: Do not round intermediate calculations. Enter your answer in millions rounded to 4 decimal places.

D: Assuming the portfolio falls by 4%, the manager should sell ___ in stock.