I presume it has something to do with the value of the puts he is buying vs the portfolio. Puts = 200*210 = $42,000 / $33,600 = 1.25.

Making the assumption that he is looking to completely hedge the portfolio downside and that the S&P100 is an approporiate measure of the market risk that the portfolio has assumed.

(1) Assume that the S&P 100 is a market proxy - market has a beta of 1 --> Cov(m,m)/Var(m) = 1

(2) Given that the market has a beta of 1 - the face value of the puts he has invested in is a multiple of the portfolio…the additional leverage in the puts therefore matches the beta of his portfolio - if we believe the assumption that he is completely hedging.

(2) (agree with )Given that the market has a beta of 1 - the face value of the puts he has invested in is a multiple of the portfolio…

the additional leverage in the puts therefore matches the beta of his portfolio - if we believe the assumption that he is completely hedging. (thinking of the puts have a greater hedging than that of the portfolio.

It’s not puts. It’s futures. Use your futures hedging formula and solve for initial beta of the portfolio assuming target B is 0 and B of the futures is 1