Difficulty: Medium
Category: Options & Greeks
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: options, ratio-spread, payoff, risk-management
You're analyzing options strategies for a stock currently trading at 100 dollars. You decide to implement a ratio spread by buying 1 at-the-money (ATM) call option with a strike price of 100 dollars and selling 2 out-of-the-money (OTM) call options with a strike price of 110 dollars, all with the same expiration date. Assume the premium paid for the 100 strike call is 10 dollars, and the premium received for each 110 strike call is 3 dollars. What is the maximum possible profit for this strategy
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