Question: For K i 2 , where i = 1 , 2 , 3 , pick from all the strike prices available in the option chain,

For Ki2, where i=1,2,3, pick from all the strike prices available in the option chain, pick the one
that is closest to the current share price , i.e. the option is roughly at the money:
For Ki1, where i=1,2, from all the strike prices available in the option chain, pick the one that is
closest to of the current share price {:P1). As for K31, make it equal to K33, as sho
below:
For K13, from all the strike prices available in the option chain, pick the one that is closest to
1.05**P1(5% of the current share price P1).
For K23, from all the strike prices available in the option chain, pick the one that is closest to
of the current share price P2
For K33, from all the strike prices available in the option chain, pick the one that is closest to
1.07** P3(107% of the current share price P3)
Make K31 equal to K 33
If there are more than one option expiration dates for a given month pick the last one available. 10
 For Ki2, where i=1,2,3, pick from all the strike prices available

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