Question: An investor purchases a structured note with a risk profile where the investor generates positive coupon returns if the S&P 500 index rallies and generates

An investor purchases a structured note with a risk profile where the investor generates positive coupon returns if the S&P 500 index rallies and generates zero-coupon returns if the S&P 500 index falls. At maturity of this one-year note the investor will have her investment returned. Which derivative exposure is embedded with the structured note?

Long S&P 500 future

Long put option on S&P 500

Long call option on S&P 500

Short put option on S&P 500

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