Answer Questions 1 Through 6 About Insuring a Portfolio Identical

question 32

Multiple Choice

Answer questions 1 through 6 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a three-month horizon. The risk-free rate is 7 percent. Three-month T-bills are available at a price of $98.64 per $100 face value. The S&P 500 is at 385. Puts with an exercise price of 390 are available at a price of 13. Calls with an exercise price of 390 are available at a price of 13.125. Round off your answers to the nearest integer.
-If the insured portfolio consisted entirely of calls and T-bills,how many would be used?

• A)19,143 calls and 124,176 T-bills
• B)31,397 calls and 122,449 T-bills
• C)933,238 calls and 2,547 T-bills
• D)31,407 calls and 119,997 T-bills
• E)32,468 calls and 32,468 T-bills

---

Definitions:

Axis Labels

Descriptive text placed along the axes in a graph or chart to explain the nature of the data being represented.

Computer

An electronic device capable of executing commands to perform a wide range of tasks or operations, processing data, and storing information.

Visuals

Elements such as images, videos, or graphs used in communication to support text or speech.

Exact Values

Specific, precise numerical values as opposed to approximations or rounded numbers.