Question
Consider the following call options written on one share of a non-dividend paying stock with the same expiry: Identifier Exercise Price (X) Call Price Call45
Consider the following call options written on one share of a non-dividend paying stock with the same expiry:
| Identifier | Exercise Price (X) | Call Price |
| Call45 | $45 | $8.60 |
| Call50 | $50 | $4.70 |
| Call55 | $55 | $2.00 |
You would like to establish an option strategy where you buy one Call45 (with X = 45), sell two Call50s (with X = 50) and one Call55 (with X = 55). What is the maximum profit of the strategy at the expiry?
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Credit Derivatives Handbook Global Perspectives Innovations And Market Drivers
Authors: Greg Gregoriou, Paul Ali
1st Edition
0071549528, 978-0071549523
