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Given the following data as of the close of trading on 10/26/18: Quest Diagnostics (DGX): 91.47 T-bill: Asked 2.28, Days to Maturity 84 Options on

Given the following data as of the close of trading on 10/26/18:

Quest Diagnostics (DGX): 91.47

T-bill: Asked 2.28, Days to Maturity 84

Options on DGX: expire January 18, 2019

c

X

p

23.7

70

0.35

17.5

75

0.55

12.9

80

1

8.7

85

1.95

5.2

90

3.4

2.55

95

6.1

1.1

100

9.7

0.45

105

14.2

Imagine now that the call option struck at $80 trades at a premium of $11.00 (instead of $12.90). Show that you can earn an arbitrage profit from buying the option and exercising it immediately.

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