Part II.

Today's price of Proct and Gamble (PG) is $120 per share. You are mildly bearish about PG in the near future. To implement your view, you decide to purchase a bear put spread with six months until maturity. An option dealer provides you quotes on six-month PG options. For a put option with a strike of $115, the dealer quotes you a price of $6.01. For a put option with a strike of $95, the dealer quotes you a price of $0.82. The c.c. risk-free rate is zero.

At what price do you break even? (Round answer to two decimal places.)