Linear Programming / Simplex, and Stock Options | How to Set up Problem

Good morning,

I found an article online, which I thought would be fun to play along with, and replicate the results
that the author got. However, I can't seem to figure out how he set up how his problem.

the gist of the article is that if you owned a brokerage firm (I don't), its possible to create a basket of stock option combinations that will guarantee profit regardless of how the underlying security moves.

Your solver is fussy about the format at start of each equation. I got it to "work" for below but basically the problem is too big. You need to find a better solver. You may have to download one. All the online ones are the same code as far as I can see.