Most of the examples in this section use the following premiums, which are based on the Black-Scholes formula for a stock currently selling at $100, a 6-month expiration date, a 4% effective rate for a 1/2 year period and no stock dividends.
Strike price = $90, 100, 110
Call = $16.36, 10.35, 6.11
Put = $2.90, 6.50, 11.88
Question: Determine the spot price at expiration for which the profit under a straddle (combination of a 100-strike call and put) and a strangle (combination of a 90-strike put and a 110-strike call) are the same