Assignment:
A stock is trading at USD 100. A box spread with 1 year to expiration and strikes at USD 120 and USD 150 is trading at USD 20. The price of a 1-year European call option with strike USD 120 is USD 5 and the price of a European put option with same strike and expiration is USD 25. What strategy exploits an arbitrage opportunity, if any?
a. Short one put, short one unit of spot, buy one call, and buy six units box-spread.
b. Buy one put, short one unit of spot, short one call, and buy four units of box-spread.
c. Buy one put, buy one unit of spot, short one call, and short six units of box-spread.
d. There are no arbitrage opportunities.