You own a portfolio which is valued at $12 million and which has a beta of 1.5. You would like to create a riskless portfolio by hedging with S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts do you need to acquire if the current S&P 500 index is 3600?

Select one:

a. Short 34 contracts

b. Short 41 contracts

c. Long 20 contracts

d. Short 20 contracts

e. Long 34 contracts