Consider the October 2015 IBM call and put options in Problem 483. Ignoring the negligible interest you might earn on T-bills over the remaining few days’ life of the options, show that there is no arbitrage opportunity using put-call parity for the options with a $140 strike price. Specifically:
a. What is your profit/loss if you buy a call and T-bills, and sell IBM stock and a put option?
b. What is your profit/loss if you buy IBM stock and a put option, and sell a call and T-bills?
c. Explain why your answers to (a) and (b) are not both zero.
d. Do the same calculation for the October options with a strike price of $150. What do you find? How can you explain this?