We assume for convenience that we consider call and put options for only one share of a stock. We consider only one stock, and all options are for this stock. We assume that the risk-free interest rate is zero. We denote the expiration date of the options by T, and we assume that it is the same date for all options considered below. We denote prices as pure numbers, omitting any notation for a currency such as the dollar sign. We denote the price of the stock at expiration by ST . Suppose that we buy a straddle at the strike price 47.50, paying 1.70 for the call and 1.25 for the put. Determine the set of all possible prices ST 0 of the stock at expiration that do not cause us to have a net loss on this transaction. Show your work.