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To create a reverse butterfly option strategy, you short a call with X=200, buy two calls with X=230, and write a call with X=260. The
To create a reverse butterfly option strategy, you short a call with X=200, buy two calls with X=230, and write a call with X=260. The call prices for the different strikes are below:
X=200 --> c= $44.5
X=230 --> c= $18.32
X=260 --> c=$2.30
You will break even if the stock price at expiration is at or at . Your maximum possible gain is and your maximum possible loss is .
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