European Put Options.

A non-dividend-paying stock is currently trading at $32, its volatility is 30%, and the risk-free rate for all maturities is 5% per annum. Mr York believes the stock is overpriced an decides to set up a bear spread using European put options with strike prices of $25 and $30 and a maturity of six months.

What must happen to the stock price for Mr York's strategy to be profitable? (round to 4 digits)

Show your calculations and reasonings.

Note:

A bear spreadis a strategy used in options trading. A trader purchases a contract with a higher strike price and sells a contract with a lower strike price. This strategy is used to maximize profit of a decline in price while still limiting any loss that could occur from a steep decrease in price.