2. Covered Call Strategy You write a call and buy a stock at time 0. SO=90 P(Premium) of one call option=10 A European call option contract: Expiration date: 1 Strike price: 100 2.1 The cost to build the covered call strategy is (Required) 2.2 If stock price at the expiration date 1 is 60, the total payoff at time 1 is (Required) Net profit is (Required) 2.3 If stock price at the expiration date is 120, the total payoff at time 1 is (Required) Net profit is (Required) 3. Arbitrage opportunity Stock price at time 0=100 Call (1 year expiration, Strike price=110) is sold at time 0 at the price of 5 Put (1 year expiration, Strike price=110) is sold at time 0 at the price of 20. T-Bill (1 year maturity, Face value 110) Rf=10% (annualized) What kind of strategy will you take to gain profits without taking any risk? A multiple-choice question with one possible answer. (Required) 1. o Write a call, short-sell T-bill, buy stock and buy a put 2. Write a call, short-sell stock, buy T-bill, write a put. 3. Buy call and stock, short-sell T-bill and buy a put 4. Buy call and T-bill and short-sell stock and write a put The profits you can make from the arbitrage is (Required)