Goldman Sachs believes that market volatility will be 20% annually for the next three years. Three-year at-the-money call and put options on the market index sell at an implied volatility of 22%. What...

Goldman Sachs believes that market volatility will be 20% annually for the next three years. Three-year at-the-money call and put options on the market index sell at an implied volatility of 22%. What options portfolio can Goldman establish to speculate on its volatility belief with-
out taking a bullish or bearish position on the market? Using Goldman’s estimate of volatility, 3-year at-the-money options have N(d₁) = .6.