A Strategy Consists of Longing a Put on the Market

question 15

Multiple Choice

A strategy consists of longing a put on the market index with a strike of 830 and shorting a call option on the market index with a strike price of 830.The put premium is $18.00 and the call premium is $44.00.Interest rates are 0.5% per month.What is the breakeven price of the market index for this strategy at expiration (in 6 months) ?

• A) $802.12
• B) $830.00
• C) $855.21
• D) $866.32

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