Assume that you hedge a $50 million large cap index fund by purchasing January 15, 2022 SPX
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Question:
equities. SPX index put options have a $100 multiple.
a. How many contracts and at what total cost will you protect the portfolio?
b. What is the break-even expiration index level, cost and what is the potential loss of that strategy?
c. You consider instead the 3,750.0 put, with 43.0 premium. What is the break-even expiration?
Related Book For
Financial Reporting and Analysis
ISBN: 978-0078025679
6th edition
Authors: Flawrence Revsine, Daniel Collins, Bruce, Mittelstaedt, Leon
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