The option premiums below are for three-month European options on a non-dividend-paying stockwith a current spot price of 65.Strike PriceCallPut588.910.98654.403.35683.064.96The continuously compounded rate of interest is 6.5%.A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options.Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread wouldhave a profit of 0, and such that X2 > X1. Calculate X2 - X1.O 7.83O 7.99O 8.478.15O 8.31

An asymmetric butterfly spread involves buying the lowest and highest price calls and selling the…

A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options. Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would have a profit of 0, and such that X2 > X1. Calculate X2 - X1.

A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options. Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would have a profit of 0, and such that X2 > X1. Calculate X2 - X1.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Question

The option premiums below are for three-month European options on a non-dividend-paying stock
with a current spot price of 65.
Strike Price
Call
Put
58
8.91
0.98
65
4.40
3.35
68
3.06
4.96
The continuously compounded rate of interest is 6.5%.
A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options.
Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would
have a profit of 0, and such that X2 > X1. Calculate X2 - X1.
O 7.83
O 7.99
O 8.47
8.15
O 8.31

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