You use the following information to construct a binomial tree for modeling the price movements of a futures contract on the S&V 150:

(i) The length of each period is 6 months.

(ii) The initial futures price is 500.

(iii) u = 1.2363, where u is one plus the percentage change in the futures price per period if the price goes up.

(iv) d = 0.8089, where d is one plus the percentage change in the futures price per period if the price goes down.

(v) S&V 150 pays dividends continuously at a rate proportional to its price. The dividend yield is 2%.

(vi) The continuously compounded risk-free interest rate is 6%.

Consider a 1-year at-the-money American call option on the above S&V 150 futures contract.

Determine the replicating portfolio of the put option at the initial node.