a. Find a portfolio of options that delivers the following payoffs on December 30, 2022 Its hard to see, but the payoffs between $360 and $361 consist of a straight line going from $360, with $1 payoff, to $361, with $0 payoff. The underlying is the SPY, which today was trading at $396.

b. Note that this payoff is an investment that pays $1 if the SPYs ending value on December 30 2022 is less than or equal to $360, and $0 otherwise (actually, there would be a payment of something between $1 and $0 if the SPY ends up between $360 and $361, but ignore this subtlety for the purpose of this question). i. Use the provided table, or even better, real time data (as in this link, for example) to calculate the price of the portfolio above. (In your answer be clear about which data you ended up using. Use the last price as the current price.)

c. You read an experts view on where the SPY is going to end up at the end of the year. She writes I think the probability that the SPY ends the year below $360 is more than 10%. Does the market agree with her? (I.e., do prices provide support for her assertion?)

Payoff Payoff