What Happens to the Long Position in a 90-100-110-Strike Call

question 14

Multiple Choice

What happens to the long position in a 90-100-110-strike call butterfly spread if all the calls are replaced with puts of identical strike and maturity?

• A) There is no change in the risks and cash flows of the original position.
• B) The new position is the same as holding a short position in the original call butterfly spread.
• C) The new position is the mirror image of the original one if you consider the x-axis as a mirror.
• D) The gross payoffs remain the same, but the net payoffs are different.

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