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Question

(A) Based on the following information about stock ABC form a long condor spread.

Stock price $

100

Annualised Volatility 20%

Maturity 35 days

Risk free rate 1%.

Use Black scholes option pricing model for determining option premium.

Strike prices are available at $ 5 interval between $75-$120.

(B) Why is long condor is formulated ?

( C) Show profit and loss chart of the spread formulated in (a) above with the expected spot price range of $ 70-130.

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