9. Consider the trading strategy in our Hedge Fund Due Diligence case. The strategy involves a combination of three positions 1) long the S&P 500 index; 2) long a S&P 500 put; 3) short a S&P 500 call. If we choose to trade the out-of-the-money (OTM) put (K/S =0.95) and the OTM call (K/S = 1.05) along with the S&P 500 index, what return should we expect?

1. A return similar to the S&P 500 index
2. A return higher than the S&P 500 index, but with a higher volatility than the S&P 500 index
3. A return higher than the S&P 500 index, but with a lower volatility than the S&P 500 index
4. A return close to the risk-free rate