AdvancedMultiple choice

Calls on the same expiry are quoted at $\$11.50$ for the $\$95$ strike, $\$7$ for the $\$100$ strike and $\$3$ for the $\$105$ strike. Is there an arbitrage?

AYes – buy the butterfly for a negative price
BNo – the butterfly costs $\$0.50$ , which is positive
CYes – the spread between adjacent strikes exceeds $\$5$
DImpossible to say without the volatility

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Payoffs, moneyness and the bounds

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Calls on the same expiry are quoted at $11.50 for the $95 strike, $7 for the… · QuantMax

Calls on the same expiry are quoted at $11.50\$11.50$11.50 for the $95\$95$95 strike, $7\$7$7 for the $100\$100$100 strike and $3\$3$3 for the $105\$105$105 strike. Is there an arbitrage?

More options: fundamentals and arbitrage questions

Calls on the same expiry are quoted at $\$11.50$ for the $\$95$ strike, $\$7$ for the $\$100$ strike and $\$3$ for the $\$105$ strike. Is there an arbitrage?