Question: GRAB SPX Index 95 Actions - 97) Settings - Option Monitor S&P 500 INDEX 2127.02 -32.02 -1,4831% 2122.48 / 2131.99 Hi 2150.47 Lo 2120.27 Volm

GRAB SPX Index 95 Actions - 97) Settings - Option Monitor S&P 500 INDEX 2127.02 -32.02 -1,4831% 2122.48 / 2131.99 Hi 2150.47 Lo 2120.27 Volm 0 HV 11.04 Center 2127.02 Strikes 50 Exp 16-Dec-16 Exch US Composite 42) Events Calendar | EVTS >> Calc Mode As of 13-Sep-2016 80) Center Strike 82 Calls/Puts 83 Calls 84 Puts 85 Term Structure 87) Honeyness Strike Puts Ticker Bid Ask Last IVM Volm 2000 1) SPX 12/16/16 P2000 34.70 36.10 37.10 19.95 5120 2010 2) SPX 12/16/16 P2010 36.60 38.00 35.00 19.66 10 2015 3) SPX 12/16/16 P2015 37.60 39.10 31.65y 19.51 2020 4) SPX 12/16/16 P2020 38.70 40.10 36.20y 19.29 2025 5) SPX 12/16/16 P2025 39.70 41.20 40.50 19.13 3999 2030 6) SPX 12/16/16 P2030 40.80 42.40 44.50 19.05 20 2035 7) SPX 12/16/16 P2035 42.00 43.40 30.91y 18.87 0 8) SPX 12/16/16 P2040 43.10 44.60 47.15 18.72 310 2045 9) SPX 12/16/16 P2045 44.30 45.80 33.95y 18.59 2050 10) SPX 12/16/16 P2050 45.60 47.00 47.05 18.40 1867 2055 11) SPX 12/16/16 P2055 46.80 48.30 45.65y 18.27 2060 12) SPX 12/16/16 P2060 48.10 49.60 36.95y 18.13 2065 13) SPX 12/16/16 P2065 49.50 50.90 46.10y 17.99 2070 14) SPX 12/16/16 P2070 50.80 52.30 55. 30y 17.76 2075 15) SPX 12/16/16 P2075 52.20 53.70 53.30 17.60 257 2080 16) SPX 12/16/16 P2080 53.70 55.20 56.50 17.44 120 5 1) SPX 12/16/16 P2085 55.10 56.60 17.29 0 18) SPX 12/16/16 P2090 56.60 58.20 61.15 17.12 300 2095 19) SPX 12/16/16 P2095 58.10 59.80 16.94 2100 20) SPX 12/16/16 P2100 59.70 61.40 64.20 16.76 1780 Australia 64 77 8600 Brazil 5511 2395 9000 Europe 44 20 7330 7500 Germany 49 69 9204 1210 Hong Kong 852 2977 6000 Singapore 65 6212 1000 Copyright 2016 Bloomberg P orders Finance L SN 566202 H164-637-0 13-Sep-16 22:03:41 EDT GMT-4:00 Please use above information from Bloomberg with delayed quotes of Dec 16 options on the S&P 500 from 13th September, 2016. Each option contract involves 100 shares in the S&P 500 index. Assuming the beta of a $150 million portfolio equals 1, work out: (a) The number of December put option contracts to fully insure the portfolio (2 marks); (b) How much it would cost to fully insure your portfolio with the 2100 December put (2 marks); (c) How much it would cost to fully insure your portfolio with the 2000 December put (2 marks) (d) How much per month does it cost to insure the portfolio in (c) above (2 marks)

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