Question: The table below contains information about three call options on the stock ABC. In addition, Greeks' data is provided for each individual option. <

The table below contains information about three call options on the stock

The table below contains information about three call options on the stock ABC. In addition, Greeks' data is provided for each individual option. < Call Option 1, K = $90, T = 180 days Call Option 2, K = $100, T = 180 days Price Delta Gamma 16.33 10.30 < 0.786 0.014 < 0.615 0.018 < Required: < Call Option 3, K = $110, T180 days 6.06 e 0.437 P 0.019 P a) Explain how you would construct a butterfly spread using the options specified in the table. < b) Calculate how much it costs to establish the butterfly spread? c) Calculate the delta and gamma for this butterfly spread position and explain how each Greek measure can be interpreted.

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