Consider the June 165, 170, and 175 call option prices in Table 9.1. a. Does convexity hold if you buy a butterfly spread, buying at the ask price and selling at the bid? b. Does convexity hold if you...

Consider the June 165, 170, and 175 call option prices in Table 9.1.

a. Does convexity hold if you buy a butterfly spread, buying at the ask price and selling at the bid?

b. Does convexity hold if you sell a butterfly spread, buying at the ask price and selling at the bid?

c. Does convexity hold if you are a market-maker either buying or selling a butterfly, paying the bid and receiving the ask?