Given the following information regarding put options on SPY:

P1(K = 410, t = 10 days) = 31.36  

P2(K = 410, t = 40 days) = 31.36

On January 19 SPY closed at 378.64, r = 1%, σ = 22.0%, q = 0. What strategy requires no initial outlay and may provide profits (no losses)?

Answer rating: 100% (QA)

Answer To construct a riskfree strategy we can use a combination of options and the underlying asset ... View the full answer