A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options. Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would have a profit of 0, and such that X2 > X1. Calculate X2 - X1.

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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The option premiums below are for three-month European options on a non-dividend-paying stock
with a current spot price of 65.
Strike Price
Call
Put
58
8.91
0.98
65
4.40
3.35
68
3.06
4.96
The continuously compounded rate of interest is 6.5%.
A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options.
Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would
have a profit of 0, and such that X2 > X1. Calculate X2 - X1.
O 7.83
O 7.99
O 8.47
8.15
O 8.31
Transcribed Image Text:The option premiums below are for three-month European options on a non-dividend-paying stock with a current spot price of 65. Strike Price Call Put 58 8.91 0.98 65 4.40 3.35 68 3.06 4.96 The continuously compounded rate of interest is 6.5%. A 58-65-68 asymmetric butterfly spread is constructed using a total of 20 three-month call options. Let X1 and X2 be the spot prices of the underlying stock at expiration for which the spread would have a profit of 0, and such that X2 > X1. Calculate X2 - X1. O 7.83 O 7.99 O 8.47 8.15 O 8.31
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