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1. (18%) Mary finds the following market information. XLE's (Energy Sector ETF) share price = $66.45; XLE APRIL 65 European call price = $2.20; XLE APRIL 65 European put price - $3.20; interest rate = 2% per annum; Both European call and put options will expire in one month. Analyze the correct arbitrage strategy for Mary (borrowing and lending is allowed at the interest rate of 2% per annum). (a) (3%) Describe Mary's correct trading activity (buying/selling) among one unit of call option, one unit of put option, and one share of XLE for successful arbitrage. (b) (3%) Calculate the amount borrowed or saved (S) at time 0 based on part (a). (c) (3%) At option expiration, calculate the cash flow (in $) from Mary's borrowing or lending (saving) activity. (d) (3%) If XLE's price = $70 at option expiration, calculate Mary's arbitrage profit/unit. (e) (3%) John is Mary's trading counterparty (i.e., if Mary is the buyer/seller, then John is the seller/buyer.) If XLE's price = $60 at option expiration, who (John or Mary) is going to exercise the option (call or put)? (f) (3%) If XLE's share price and its European put option price are reasonable, what is the reasonable European call option price which can eliminate the arbitrage opportunity