Suppose You Are Managing a Stock Portfolio Currently Valued at $2

Multiple Choice

Suppose you are managing a stock portfolio currently valued at $2 million that has a portfolio beta of 1.40 and you are interested in call option overwriting to raise additional funds. If the S&P 100 index recently closed at 541.86 and a February 580 OEX 100 call option contract has a premium of 7.30, what is the maximum number of contracts you could write on a cash account basis using the stock portfolio as collateral?

A) 26
B) 36
C) 46
D) 56