Consider the following options portfolio. You write a January maturity call option on Canadian Pacific with exercise price 60. You write a January Canadian Pacific put option with exercise price 55.

b) What will be the profit/loss on this position if Canadian Pacific is selling at 57 on the option maturity date? What if Canadian Pacific is selling at 65? Use the figure below (and bid/ask prices) to answer these questions.

| can Palic i es Sep01 $60.0 0.55 0.0 0.55 15 2934 Oct01 65.00 0.30 0.55 0.50 47 22 Jan02 $7.5 12.00 12.50 12.5 20 84 50.00p0.0 0.75 0.80 15 85 $55.00p1.85 2.10 2.10 43 60. 0 3.25 3.50 3.30 | | can Palic i es Sep01 $60.0 0.55 0.0 0.55 15 2934 Oct01 65.00 0.30 0.55 0.50 47 22 Jan02 $7.5 12.00 12.50 12.5 20 84 50.00p0.0 0.75 0.80 15 85 $55.00p1.85 2.10 2.10 43 60. 0 3.25 3.50 3.30 |