Question: Form a long butterfly spread using the three call options in the table below CI X- $90 C2 X= $100 C3 X= $110 T- 180

Form a long butterfly spread using the three call options in

Form a long butterfly spread using the three call options in the table below CI X- $90 C2 X= $100 C3 X= $110 T- 180 daysT- 180 daysT 180 davs 6.0600 0.4365 0.0187 11.4208 27.6602 18.5394 16.3300 0.7860 0.0138 Price DELTA GAMMA THETA VEGA RHO 10.3000 0.6151 0.0181 12.2607 26.8416 25.2515 11.2054 20.4619 30.7085 What does it cost to establish the butterfly spread? explain how each can be interpreted achieved by doing so? C3 remain the same. Does this create an arbitrage opportunity? Explain. a) b) Calculate cach of the Greek measures for this butterfly spread position and c) How would you make this option portfolio delta neutral? What would be d) Suppose that tomorrow the price of C1 falls to $12.18 while the prices of C2 and

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