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 with the low strike at 56, the peak at 62 and the high strike at 66 using the given call options, a strategy would need to have:
A) 5 written calls at 56-strike, 2 long calls at 62-strike and 3 long calls at 66 strike.
B) 5 written calls at 62-strike, 2 long calls at 56-strike and 3 long calls at 66 strike.
C) 5 long calls at 62-strike, 2 long calls at 56-strike and 3 short calls at 66 strike.
D) 5 written calls at 62-strike, 3 long calls at 56-strike and 2 long calls at 66 strike.
Calls 8.83 7.53 6.36 5.32 4.41 3.63
Strikes 56 58 60 62 64 66
Puts 2 2.68 3.5 4.45 5.53 6.73
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