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) $47,775
B) $71,785
C) $95,550
D) $191,345