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Suppose a call option with a strike price of $100 costs $10. A put option with the same strike price and expiration date costs $8.
Suppose a call option with a strike price of $100 costs $10. A put option with the same strike price and expiration date costs $8. How can the options be used to neutralise the direction and bet on the volatility? Construct a table that shows the profit from this strategy. For what range of stock prices would the strategy lead to a loss?
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