Question
2. Suppose a certain stock is currently worth $61. An investor constructs a long butterfly with the following six-month puts: Strike price 55 60 65
2. Suppose a certain stock is currently worth $61. An investor constructs a long butterfly with the following six-month puts:
| Strike price | 55 | 60 | 65 |
| Put price | 5 | 7 | 10 |
(a) Determine the positions in the puts and fill in the payoff table.
(b) What are the max loss, max gain and the break-even level for this butterfly spread?
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Handbook Of Experimental Finance
Authors: Sascha Füllbrunn, Ernan Haruvy
1st Edition
1800372329, 978-1800372320
