derivatives

The following prices are available for call and put options on a stock priced at $50. The risk-free rate is 6 percent and the volatility is 0.35. The March options have 90 days remaining and the June options have 180 days remaining. The Black-Scholes model was used to obtain the prices. Calls Puts Strike March June March June 45 6.84 8.41 1.18 2.09 50 3.82 5.58 3.08 4.13 55 1.89 3.54 6.08 6.93 Assume that each transaction consists of one contract (100 options) unless otherwise indicated. (a) What is the profit from a bull money spread using the March 45/50 calls if the stock price at expiration is $472 Suppose you close the spread 60 days later. What will be the profit if the stock price is still at $50? (b) Suppose you expect the stock price to remain at about $50 and decide to execute a butterfly spread using the June calls. What will be the profit if the stock price at expiration is $52.50? (c) Suppose you execute a calendar spread based on the assumption that stock prices are expected to remain fairly constant. Use the June/March 50 call spread. Assume one contract of each. What will be the profit if the spread is held 90 days and the stock price is $45