CFAI Mock 2017 - Kingsbridge case scenario

CFA Level III Fixed Income
#1

Q-33

Correct answer is B, buy a protective put.

My confusion is why not C, as that will also reduce the duration, buying a covered call will reduce the downside as well as upside movement at zero cost.

I selected Ans A but I understand that altering the duration but in opposite direction (I answered the question in isolation of other earlier statements which was about reducing duration).

#2

By writing a covered call, he receives a premium which reduces his downside (slightly) but his upside is limited.

He wants to limit his downside while keeping the upside potential, so B is the only one that matches his criteria

#3

Draw out the payoff for a covered call. Capped upside. Protective put payoff diagram, however, allows the investor to retain upside. Capped downside.