The current price for a put and a call option with a strike price of $30 are $9.57 and 5.20 respectively. The current stock price is $24 and the risk free rate is 3%. Is there an arbitrage opportunity. What is the investment strategy. If so, what is the net payoff when the options expire?
a) $0.75
b) $0.00
c) $6.00
d) Cannot be determined