(Butterfly spread) An investor who believes that a stock price will stay close to K in the short future may wish to construct a butterfly spread for that stock around K. One way to construct such a spread is to form a portfolio at time O consisting of (a) longing a call with strike price K a, (b) shorting two calls with strike price K, and (c) longing a call with strike price K + a, all with the same maturity T, and 0