1. You are given the following information on a series of options on Bumble (stock price of 55) expiring in 48 days:

	Call
X=50	C(X1)= 8.1
X=55	C(X2)= 5.3
X=60	C(X3)= 4.4

1. Complete the following payoff table for the payoff of a short butterfly call spread, at expiration:

ST	Leg 1	Leg 2	Leg 3	Short Butterfly Call Spread
40
42.5
45
47.5
50
52.5
55
57.5
60
62.5
65
67.5
70

[8 marks]

2. What is the cost of forming this strategy?
3. Use the following table, as a guide, to write down algebraically the payoffs for this strategy, and to find the breakeven point for this strategy:

Leg 1
Leg 2
Leg 3
Net

Break evens = ___________________________________ _______________

[10 marks]

d) Some of the Greeks for the three options, used above, are given below:

X	Call Delta	Call Vega	Call Gamma	Call Theta	Call Rho
50	0.7	6.9	0.0274	-16.7795	4.07
55	0.55	7.9	0.0314	-19.1522	3.29
60	0.4	7.69	0.0305	-18.6102	2.46

Calculate the delta, vega, gamma, theta and rho of the short butterfly call spread and comment in the sensitivities: