In October, shares of GHI are currently trading for $100/share. An investor purchases one GHI 90 call for $12.59, sells one GHI 100 call for $6.54, and sells one 110 call for $2.92. All options have 2 months until expiration. The continuously compounded riskfree rate is 3%, and the variance of GHI stock is 0.15.

a. What is the net cashflow in October? Remember, each contract covers 100 shares.

For parts b. through d., assume the price of GHI increases to $111 in November (one month from the original trade). The options would have one month until expiration at this point in time. Assume the riskfree rate and the variance of GHI will stay constant. The Black-Scholes price of a GHI 90 call is $21.35 and the Black-Scholes price of a GHI 100 call is $12.31 in November with shares trading at $111.

b. What is the Black-Scholes price of the GHI 110 call with 1 month until expiration and a stock price of $111/share?

c. Assume the investor closes the position in November. What is the net cashflow in November at the time the investor closes the position by selling the 90 call, purchasing the 100 and 110 calls when the stock is trading at $111/share?

d. What is the net profit/loss of the overall position determined by the initial October cashflow and the November cashflow at the time the position is closed?