8. Rahul sells a calendar spread. Current spot is 110.00 JPY per USD. She sells a 2 month USD call/JPY put with strike 110.00 JPY per USD, and buys a 1-month USD call/JPY put option with strike 110.00.

a. If no other variables change; what is Chelsey betting on in terms of the price movement of USDJPY?

Assume that immediately after Natalie sells the calendar spread, the implied volatility of both the two month and the one month options go up by 1%.

b. Is she a winner or a loser?

Assume that immediately after Natalie sells the calendar spread, the 1 month implied volatility goes up and the two month implied volatility goes down?

c. Is she a winner, a loser, or is it unclear?