You Are Given the Following Information About a Portfolio You

Multiple Choice

You are given the following information about a portfolio you are to manage. For the long term, you are bullish, but you think the market may fall over the next month. $$\begin{array} { l r r } \text { Portfolio Value } & \$ \quad 1 \text { million } \\\text { Portfolio's Beta } & 0.86 \\\text { Current S\&P500 Value } & 990 \\\text { Anticipated S\&P500 Value } & 915 \\\end{array}$$ How many contracts should you buy or sell to hedge your position? Allow fractions of contracts in your answer.

A) Sell 3.477
B) Buy 3.477
C) Sell 4.236
D) Buy 4.236
E) Sell 11.235