question archive The table below contains information about three call options on the stock ABC
The table below contains information about three call options on the stock ABC
Subject:FinancePrice: Bought3
The table below contains information about three call options on the stock ABC. In addition, Greeks' data is provided for each individual option.d = e Price Delta Gamma Call Option 1, K = $90, T = 180 days 16.33 0.786 0.014 Call Option 2, K = $100, T = 180 dayse 10.30 0.615 0.018 Call Option 3, K = $110, T = 180 days 6.06 0.437 0.019 e ?? Required: 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.
