Long Straddle: long 80 strike call(s), long 80 strike put(s)

Short call Butterfly: short 75 strike call(s), long 80 strike call(s), short 85 strike call(s)

Put Backspread: long the 75 strike put(s), and short the 85 strike put(s)

All three spreads should be done so as to be roughly delta neutral (total spread delta between -0.1 and 0.1). For the Backspread make sure you do the proper ratios (you will have to find the ratio on the backspread to make it roughly delta neutral)!

As inputs assume that the stock price is $79, the risk-free rate is 4%, the volatility is 22%, and the time to maturity is 3-months (.25 years).

1. Discuss the various sensitivities of the combinations.

2. Is there a particular combination you like, given the actual prices?

Stock Price		$79
		Traded
Option Type	Option Strike	Price
Call	75	$ 6.28
Call	80	$ 3.26
Call	85	$ 1.53
Put	75	$ 1.30
Put	80	$ 3.07
Put	85	$ 6.73
interest rate		4%
volatility		22%