$10$

Multiple Choice

$10$ points

A portfolio manager in charge of a portfolio worth $$10$ million is concerned that stock prices might decline rapidly during the next six months and would like to use put options on an index to provide protection against the portfolio falling below $$9\mathrm{.}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 $1?$

Short $200$ contracts

Long $200$ contracts

Short $100$ contracts

Long $100$ contracts