Put and Call Pay-offs Suppose a financial manager buys call options on 35,000 barrels of oil with the same exercise price of 120 per barrel. She simultaneously sells a put option on 35,000 barrels of oil with the same exercise price of 120 per barrel. Consider her gains and losses if oil prices are 115, 120, 125, 130 and 135. What do you notice about the pay-off profile?