Using call options, a butterfly spread would be created by buying the 30 and 40 calls and selling two of the 35 calls. If the stock price is 37, the profit is:

$$\max(0, 37 - 30) - 2 \times \max(0, 37 - 35) + \max(0, 37 - 40) - 7.50 + 2 \times 3.50 - 1.00$$ $$= 7 - 2(2) + 0 - 7.50 + 7.00 - 1.00 = 1.50$$

Using put options, a butterfly spread would be created by buying the 30 and 40 puts and selling two of the 35 puts. If the stock price is 37, the profit is:

$$\max(0, 30 - 37) - 2 \times \max(0, 35 - 37) + \max(0, 40 - 37) - 1.50 + 2 \times 3.75 - 7.50$$ $$= 0 - 2(0) + 3 - 1.50 + 7.50 - 7.50 = 1.50$$

(Book 3, Module 40.2, LO 40.c)