Suppose Malin Investment Trust in Question $2$ decides that the cost of the put insurance is too high and decides to defray the cost of the puts by forming a range forward contract by selling S&P $500$ calls with X $=3,000$ priced at C $=25..$

a$.$ How much revenue would Malin receive from selling the same number calls as the puts she purchased to insure the portfolio. What is the net cost of the range forward contract?

b$.$Show in a table the IV of the call at expiration, the cost of closing Malin$$s short call position, the cash flows from the put$-$insure portfolio $($use the cash flows you obtained in Question $2),$ and the range forward values on the June expiration date for possible spot index values of $2,000,2,250,2,500,2,750,3,000,3,250$ and $3,500.$