Question: Call call Call Call Put Put Put Strike July Aug Oct Jul Aug Oct 160 6 8.1 11.1 .75 2.75 4.5 165 2.7 5.25 8.1

Call call Call Call Put Put Put
Strike July Aug Oct Jul Aug Oct
160 6 8.1 11.1 .75 2.75 4.5
165 2.7 5.25 8.1 2.4 4.75 6.75
170 .8 3.25 6 5.75 7.5 9

Using this infor mation. The stock was priced at 165.13. The expiration are July 17, Aug 21, and Oct 16. The continously compounded risk-free rates associated with the three expirations are .0503, .535 and .0571 respectively. the standard devition is .21

Supposed you are expecting the stock price to move substantially over next three months. You are considering butterfly spread. Construct an appropriate butterfly spread using October 160, 165 and 170 calls. Identify the two breakeven stock prices and the maximum and minimum profits.

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