You manage a Canadian stock portfolio worth $10 million. The TSX index is currently at 18,000 and the beta of the portfolio with respect to the TSX index is 2.2. Neither the index, nor the portfolio pay a dividend. The risk free rate is 4% p.a. continuously compounded. You are considering buying portfolio insurance against your portfolio losing more than 8% of its value over the next three months. Three-month Put options on the TSX index with various strike prices are available. Each put is for $100 times the index.