Suppose that LMN Investment Bank wishes to sell Auric a zero-cost collar of width 30 without explicit premium (i.e., there will be no cash payment from Auric to LMN). Also suppose that on every option...

Suppose that LMN Investment Bank wishes to sell Auric a zero-cost collar of width 30 without explicit premium (i.e., there will be no cash payment from Auric to LMN). Also suppose that on every option the bid price is $0.25 below the BlackScholes price and the offer price is $0.25 above the Black-Scholes price. LMN wishes to earn their spread ($0.25 per option) without any explicit charge to Auric. What should the strike prices on the collar be? (Note: Since the collar involves two options, LMN is looking to make $0.50 on the deal. You need to find strike prices that differ by 30 such that LMN makes $0.50.)