Your portfolio has a beta of 1.11 and is worth $150 million. You are concerned about what is going to happen to the stock market over the next 5 months and plan to use the 6-month futures contracts on the S&P 500 to hedge the risk. The current level of the index is 2,700, and one contract is on 250 times the index. The risk free rate is 5% per year, and the dividend yield on the index is 3.75% per year. The current 6-month futures price is 2,718.

A)What position should you take to hedge all your exposure to the stock market over the next 5 months (in no. of contracts)?

B)Calculate the gain (in dollars) on the short futures position if the index is at 2,350 in 5 months.