3. (a) Choose a stock that does not pay a dividend. Find a real-world split-strike strategy (where you sell a call option and use the proceeds to buy a call option). (Note: you should find a call with a price >= the put you buy so it is a zero cost strategy)

(b) Assume you own the stock and the two options from part (a ), make a chart that shows your net position if the stock price has the following changes at time t: -25%, -20%, -15%, -10%, -5%, 0, 5%, 10%, 15%, 20%, 25%

(c) Using a fair estimate for volatility (you can use implied volatility!) and the normal distribution, approximately what percentage of the time do you expect the options to be worthless at time t? (Note: there are several ways of estimating this that we have talked about throughout the semester)