98% of the initial reference value is .98 x 267.88 dollars, which equals 262.52 dollars. However, the market value of each call contract they purchase is 247.42 dollars.
How are they purchasing these call options at a discount?
Here's the link to the prospectus (the reference value is on page 8, and the options price is on page 21): https://mplusfunds.com/defined-preservation-95-fund-fact-sheet-standard/prospectus-alaia-series-7-1-defined-preservation-95-fund-10-31-18/