ken webster manages a 100 million equity portfolio benchmarked to the s p 500 index over the past two years the s p 500/

a. Describe the potential returns of the combined portfolio ( the underlying portfolio plus the option collar) if after 30 days the S& P 500 index has
i. Risen approximately 5 percent to 701.00
ii. Remained at 668 (no change)
iii. Declined by approximately 5 percent to 635.00 (No calculations are necessary.)
b. Discuss the effect on the hedge ratio ( delta) of each option as the S& P 500 approaches the level for each of the potential outcomes listed in part ( a).
c. Evaluate the pricing of each of the following in relation to the volatility data provided:
i. The put
ii. The call