A Portfolio Manager in Charge of a Portfolio Worth $10

Multiple Choice

A portfolio manager in charge of a portfolio worth $10 million is concerned that the market might decline rapidly during the next six months and would like to use options on an index to provide protection against the portfolio falling below $9.5 million. The index is currently standing at 500 and each contract is on 100 times the index. What position is required if the portfolio has a beta of 0.5?

A) Short 200 contracts
B) Long 200 contracts
C) Short 100 contracts
D) Long 100 contracts