Use the following premiums for S&P options with 6 months to expiration:

Strike Call Put $950 $120.405 $51.777 1000 93.809 74.201 1020 84.470 84.470 1050 71.802 101.214 1107 51.873 137.167

Assume you buy a 1,000-strike S&P call, sell a 1050-strike S&P call, sell a 1,000-strike S&P put, and buy a 1050-strike S&P put.

a. Using a table, verify that there is no S&P price risk in this transaction.

b. What is the initial cost of the position?

c. What is the value of the position after 6 months?

d. What is the implicit interest rate in these cash ows over 6 months?