Assume a stock is currently priced at $80.00 and can either increase by 25% or decrease by 20% in each period. The risk free rate is 10% (per period). Assume you observe that the call is overpriced at time zero and you are considering an arbitrage trade. Calculate and report it's time zero delta. Will you buy or sell the calls, and how many? Will you buy or short the shares of the stock, and how many? Hint: you do not need to consider any data past the end of the first period.

You do not need to set up the cash flow table, calculate your profits, or specify your borrowing and lending transactions for this problem