9.18 Consider the June 165, 170, and 175 call option prices in Table 9.1. a. Does convexity hold if you buy a butterfly spread, buying at the ask price and selling at the bid? b. Does convexity hold if you sell a butterfly spread, buying at the ask price and selling at the bid? c. Does convexity hold if you are a market-maker either buying or selling a butterfly, paying the bid and receiving the ask? TABLE 9.1 IBM option prices, dollars per share, May 6, 2011. The closing price of IBM on that day was $168.89. 6.15 Strike 160 165 170 175 160 Expiration June June June June October October October October Calls Bid ($) Ask ($) 10.05 10.15 6.25 3.20 3.30 1.38 1.43 14.10 14.20 10.85 11.00 8.10 8.20 5.80 5.90 Puts Bid ($) Ask ($) 1.16 1.20 2.26 2.31 4.25 4.35 7.40 7.55 5.70 5.80 7.45 7.60 9.70 9.85 12.40 12.55 165 170 175 Source: Chicago Board Options Exchange