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You are managing a portfolio worth $14.65 million, with beta 1.48 with respect to the S&P500 index. The S&P500 index is currently at 5790 .
You are managing a portfolio worth $14.65 million, with beta 1.48 with respect to the S\&P500 index. The S\&P500 index is currently at 5790 . Put options are available on the S\&P500 index, with multiplier 100. You wish to insure your portfolio against a loss of 10.00% or more over the next year. The risk-free rate is 9.60%. Both your portfolio and the S\&P500 index pay dividends at 1.50% per annum. What S\&P500 index option position should you take? 37 one year puts, each with strike 5211.00. 37 one year puts, each with strike 5550.89. 25 one year puts, each with strike 5550.89. 25 one year puts, each with strike 5211.00. You are managing a portfolio worth $14.65 million, with beta 1.48 with respect to the S\&P500 index. The S\&P500 index is currently at 5790 . Put options are available on the S\&P500 index, with multiplier 100. You wish to insure your portfolio against a loss of 10.00% or more over the next year. The risk-free rate is 9.60%. Both your portfolio and the S\&P500 index pay dividends at 1.50% per annum. What S\&P500 index option position should you take? 37 one year puts, each with strike 5211.00. 37 one year puts, each with strike 5550.89. 25 one year puts, each with strike 5550.89. 25 one year puts, each with strike 5211.00
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