You are given the following information regarding put options on SPY:

P1(K = 510, t = 10 days) = 53.98 P2(K = 510, t = 40 days) = 53.98

SPY closed Tuesday (Jan 18) at 456.00, r = 0.5%, = 22.2%, q = 0 . What strategy

requires no initial outlay and may provide profits (no losses)?

a. No strategy exists

b. Sell P1, buy P2

c. Buy P1, sell P2

d. Sell P1, short the stock, buy P2