Question
Consider the following option prices on the S&R index all with maturity of 1 year: Strike Call Put $950 $120.405 $51.777 $1020 $84.47 $84.47 $1050
Consider the following option prices on the S&R index all with maturity of 1 year:
| Strike | Call | Put |
|---|---|---|
| $950 | $120.405 | $51.777 |
| $1020 | $84.47 | $84.47 |
| $1050 | $71.802 | $101.214 |
Assume the effective 1 year interest rate is 2%.
Construct an asymmetric butterfly spread using the 950-, 1020-, and 1050-strike options. How many of each options to you hold? Draw a payoff and profit diagram of the butterfly spread.
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The Ten Commandments To A Financial Healing
Authors: Ms. Kemberley J Washington
1st Edition
1499607261, 978-1499607260
