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Medium · Finance · Quant Trader interview question · options, butterfly-spread, payoff, risk-management
You construct a long call butterfly spread with the following characteristics: - Long 1 call option with a strike price of 95 - Short 2 call options with a strike price of 100 - Long 1 call option with a strike price of 105 What is the maximum possible profit for this butterfly spread, assuming all options are European options with the same expiration date and zero transaction costs? All options are on the same underlying asset.