1. Consider at-the-money American call and put on stock Y. Both the call and the put are 6-month to expiration. Current stock price is $200; and the stock does not pay any dividend in 6-month. Interest rate is 10%. The put option premium is $8.57.

1. What is the range of the call option premium, for which the trader has no arbitrage opportunities? (5 points)
2. Suppose market price of the call is out of your range in a. Please use a numeric example to briefly describe your arbitrage strategy and cash flows today and in 6 months. (7 points)