A protective collar involves buying an out-of-the-money put and writing an out-of-the-money call on an underlying asset that you own. Let's say you own an S&P 500 index security that is currently trading at $30/share. You bought the index at $10 per share so you currently have a big capital gain. You don't want to sell your shares, but you want to lock in your profits with a protective collar for the next year. You want to make sure you can sell your shares for at least $29/share. The standard deviation of returns on the S&P 500 is 20% and the assume risk free rate is 2%. What strike price should you set on the call so that you make the same premium that you paid for the put (zero net cost)