You are the manager of a stock portfolio worth $10,500,000. It has a beta of 1.15. During the next three months, you expect a correction in the market that will take the market down about 5 percent. Currently the spot price is 409. You would like to use options on the index to provide protection against the portfolio falling below 5%. Each contract is on 100 times the index. Determine the number of contracts and the strike prices of the put options. (10 points) Assume that the risk-free rate is 12% and the dividend yield on the index is 3% and on the portfolio is 2%