We consider the following options strategy on a stock and its total payoff at the expiry date of option #3.

For the options with a remaining life, we use BSM model to determine their values. We assume a volatility of 23% and a risk-free rate of 4%.

Question :Compute the total payoff for S = 80, 120 and 160

Option Type Call Call Call Position Remaining life Strike Long x 20.25 Short x 31 Long x 10 100 120 140 2