An investor owns a stock portfolio that cl

问题：

An investor owns a stock portfolio that closely follows the Standard & Poor’s 500 Index (S&P500). He purchases one S&P500 stock index put option. The investor’s position is now portfolio insurance with the following characteristics: Portfolio position: LONG S&P500 Portfolio purchase price:1427.21 Option position: LONG 1 put option Underlying asset:S&P 500 Index Exercise price : 1225 Premium :3 Expiration date : November If the expiration-day price of S&P500 were 1200, then the expiration-day profit/loss for the portfolio insurance would be:

A．

B．

C．