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In your portfolio you have purchased 1 European Call option and written 1 European Put...

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Accounting

In your portfolio you have purchased 1 European Call option and written 1 European Put option on stock ABC for $4 and $2 respectively. The strike/exercise prices of both the options are equal to $50. These options are set to expire on the 3rd Friday of June 2015. The possible values for the price of the stock ABC on the 3rd Friday of June 2015 are: $30 with 20% chance; $50 with 30% chance and $70 with 50% chance. The standard deviation of the returns on your portfolio is:

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