An investor is speculating on the volatility of an index. The current price of the index is 1500. The investor buys a 3-month straddle. You are given: (i) A 3-month at-the-money call option costs 70.45. (ii) A 3-month at-the-money put option costs 59.96. (iii) The current price of the index is 1500. (iv) The effective annual risk-free rate is 0.06. Let S be the price of the index at the end of 3 months. Determine the range of values of S for which the investor's profit is positive