Complete table of cash flows

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Reference no: EM133118506

Crude oil is trading today for St = $96/barrel (bbl). Calls and puts on crude oil for JUL2022 Expiration are traded for the following prices:

K calls puts

$95.50/bbl $2.30/bbl $1.38/bbl

$96.00/bbl $2.03/bbl $1.65/bbl

$96.50/bbl $1.79/bbl $1.86/bbl

$97.00/bbl $1.58/bbl $2.13/bbl

$97.50/bbl $1.38/bbl $2.43/bbl

$98.50/bbl $0.345/bbl $2.99/bbl

Show the complete table of cash flows/bbl and P/L/bbl at the JUL2022 expiration of the following strategy:

Buy one barrel of crude oil and buy one K = $95.5 JUL 2022 put and sell all the K =$98.50, JUL 2022 calls necessary to exactly finance the put purchase.

Reference no: EM133118506

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