Answer Questions 1 Through 6 About Insuring a Portfolio Identical

Multiple Choice

Answer questions 1 through 6 about insuring a portfolio identical to the S&P 500 worth $12,500,000 with a three-month horizon. The risk-free rate is 7 percent. Three-month T-bills are available at a price of $98.64 per $100 face value. The S&P 500 is at 385. Puts with an exercise price of 390 are available at a price of 13. Calls with an exercise price of 390 are available at a price of 13.125. Round off your answers to the nearest integer.
-If the insured portfolio consisted entirely of calls and T-bills,how many would be used?

A) 19,143 calls and 124,176 T-bills
B) 31,397 calls and 122,449 T-bills
C) 933,238 calls and 2,547 T-bills
D) 31,407 calls and 119,997 T-bills
E) 32,468 calls and 32,468 T-bills