AdvancedNumeric answer

Puts on the same expiry are quoted at $\$2$ for the $\$90$ strike, $\$6$ for the $\$100$ strike and $\$9$ for the $\$110$ strike. Buying the butterfly $90/100/110$ in puts, how much are you paid up front?

Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.

The worked solution is in Premium

The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.

Start the 7-day free trial Practise it with Premium

Learn the method

Static arbitrage: the constraints every quote must respect

Reported in interviews at

Jane Street, Optiver, SIG (Susquehanna)

More options: fundamentals and arbitrage questions

A quote sheet with a hole in it, part 1 of 3Foundation
Rates are zero. Calls on the same expiry are quoted at $12 for the $90 strike.Applied
The three-month $100 call trades at $5 and the six-month $100 call at $4, on a…Applied
Rates are zero. The $100 call is quoted at $9.40 and the $105 call at $4.00, same expiry.Applied
What is the most a one-year European put with a $100 strike can be worth when…Applied
A quote sheet with a hole in it, part 2 of 3Applied

Puts on the same expiry are quoted at $2 for the $90 strike, $6 for the $100… · QuantMax

Puts on the same expiry are quoted at $2\$2$2 for the $90\$90$90 strike, $6\$6$6 for the $100\$100$100 strike and $9\$9$9 for the $110\$110$110 strike. Buying the butterfly 90/100/11090/100/11090/100/110 in puts, how much are you paid up front?

More options: fundamentals and arbitrage questions

Puts on the same expiry are quoted at $\$2$ for the $\$90$ strike, $\$6$ for the $\$100$ strike and $\$9$ for the $\$110$ strike. Buying the butterfly $90/100/110$ in puts, how much are you paid up front?