The price of a stock has hovered around its current price of 70 for several months, but you believe that the stock price will break far out of that range over the next 4 months, without knowing whether it will go up or down. You have decided to take advantage of your conviction through an appropriate position in a 4-month 70-strike European straddle.

You are given:

(i) The stock pays dividends continuously at a rate proportional to its price. The dividend yield is 2%.

(ii) The price of a 4-month at-the-money European call option on the stock is 7.

(iii) The continuously compounded risk-free interest rate is 8%.

Determine how far the price of the stock has to move in either direction from its current level so that you make a profit on your straddle after 4 months.