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 S&P 500 ends up at 401,determine the upside capture.

A) 96.7 percent
B) 96 percent
C) 99.3 percent
D) 94 percent
E) 100 percent