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Corporation X can issue straight 5-year debt (bonds) at a yield to maturity of 5%. If a 5-year at-the-money call option on the S&P 500

Corporation X can issue straight 5-year debt (bonds) at a yield to maturity of 5%. If a 5-year at-the-money call option on the S&P 500 index costs 20% of the index value, what percentage of the indexs upside over the next 5 years could a 5-year structured note issued by Corporation X provide, assuming a 2% up-front underwriting spread?

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