Question: At date t, a trader buys a butterfly spread using three European call options on the same stock. The date t stock price is $27.50
At date t, a trader buys a butterfly spread using three European call options on the same stock. The date t stock price is $27.50 per share. All three options have the same expiration date, T. The first call option is priced at $7.75 per share and has a strike price equal to $20 per share, the second call option is priced at $2.07 per share and has a strike price equal to $27.50 per share, and the third call option is priced at $0.24 per share and has a strike price equal to $35 per share. At date T, what are the break-even stock prices per share?
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