Learning Goal: I’m working on a business question and need an explanation and answer to help me learn.Use put–call parity to show that the cost of a butterfly spread created from European puts is
identical to the cost of a butterfly spread created from European calls.A long butterfly options strategy consists of the following options: (using call options)
Long one call with a strike price of (X − a)
Short 2 calls with a strike price of X
Long 1 call with a strike price of (X + a)
where X = the spot price (i.e., current market price of underlying) and a > 0.
If you replace call options by puts, you get a butterfly with put options.