Referring to graphical given- What are the expectations of an investor

who forms such a strategy?

O a. The investor expects that volatility of the index is less than the market anticipates

O b. The price of the index to be 1,340 at expiration

O C. The price of the index is between 1,330 and 1,350

O d. The price of the index is increasing at a decreasing rate

O

None of the given options is correct

Use this given for questions marked with Referring to graphical given- Considering a set of European Put Index Options, suppose you observe the following option prices. The index level today is 1,340, The Index dividend yield is equal to 2% continuously compounded and the RF interest rate is equal to 1% continuously compounded. Option Mtwity Strike Type Price in days) Price $4 Pux 52 1,310 $8 Pet 1320 $12 Put 52 1,330 $15 Pet 52 1,340 $20 Put 52 1,350 $26 Pot 52 1360 536 Put 52 1.370 52 Payoff Index Level 1310 1320 1320 1340 1350 1360 1370