5. You believe that market volatility will be 20% annually for the next year. 1-year at-the-money call and put options on the market index sell at an implied volatility of 22%. What options portfolio should you buy to speculate on this volatility belief without taking a bullish or bearish position on the market?

Using your estimate of volatility, 1-year at-the-money options have N(d1) = .6.