What is the net cash flow of this arbitrage strategy at the

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The common stock of Company XLT and its derivative securities currently trade in the market at the following prices and contract terms: Price ($) Exercise Price ($) Stock XLT $21.50 Call option on Stock XLT $5.50 $21.00 Put Option on Stock XLT $4.50 $21.00 Both of these options will expire 91 days from now, and the annualized yield for the 91-day treasury bill is 3.0 percent..

(a) What is the net cash flow of this arbitrage strategy at the option expiration date, assuming that Stock XLT trades at $23 at expiration three months from now.

Reference no: EM13396300

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