Question: Based on the option chain below : T=0.3 per year and the option chain expires in 110 days and there is no bid-ask spread. For
Based on the option chain below :
T=0.3 per year and the option chain expires in 110 days and there is no bid-ask spread.
For an asymmetric butterfly constructed using the given put options with the low strike at 58, the peak at 60 and the high strike at 64, how much would the strategy cost for one unit of the underlying asset?
A) 3.24
B) 1.21
C) 0.39
D) 1.6
| Calls | Strikes | Puts |
| 8.83 | 56 | 2.00 |
| 7.53 | 58 | 2.68 |
| 6.36 | 60 | 3.50 |
| 5.32 | 62 | 4.45 |
| 4.41 | 64 | 5.53 |
| 3.63 | 66 | 6.73 |
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