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 1.60 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 July 600 OEX 100 call option contract has a premium of 2.45, what is the maximum amount of funds you could generate by writing calls on a cash account basis using the stock portfolio as collateral?

A) $6,370
B) $8,820
C) $11,270
D) $13,720