You are given the following information on a stock index fund. The purchase price per share of the fund is $100. State of the market Probability Year-end price $ Cash dividends Excellent 0.20 0.50 0.20 0.10 Good Poor Crash 125.00 105.00 85.00 40.00 6.00 5.00 3.00 1.00 The price of a put option on a share of the index fund with an exercise price of $115 and time to expiration of 1 year is $10. Which of the following is true? a. When the state of the economy is poor, the HPR of a protective put strategy is 7.27% b. None of the options is correct * c. When the state of the economy is excellent, the HPR of the stock index fund investment is 25%. d. When the state of the economy is good, the HPR of a purchase of the put is -100%

You are given the following information on a stock index fund. The purchase price per share of the fund is $100. The price of a put option on a share of the index fund with an exercise price of $115 and time to expiration of 1 year is $10. Which of the following is true? a. When the state of the economy is poor, the HPR of a protective put strategy is 7.27% b. None of the options is correct x c. When the state of the economy is excellent, the HPR of the stock index fund investment is 25%. d. When the state of the economy is good, the HPR of a purchase of the put is - 100%