D Question 12 8 pts Please answer the next question based on the following quotes on currency options contracts for Swiss francs (CHF), where each contract has 62,500 CHFs. Exercise prices, call and put premiums are in cents. Calls Vol. Last Puts Vol. Last 62,500 Swiss Francs-European Style. 77 Oct 77 Dec 31 10 2.78 3.60 --- 78 Nov 47 0.23 78 Dec 14 2.66 100 0.43 79 Oct 50 0.27 --- 79 Nov 79 Dec 80 Nov Dec 81 Oct 81 Nov 81 Dec Nov Nov tunu 1.59 2.04 1.00 1.39 Dec 0.20 is 3.12 --- You buy one November PUT options contract with an exercise price of $0.83. If at the time of the option expiration date price for Swiss francs is $0.835, then this call option is and you incur a net O in-the-money; loss of $2,262.50 O out-of-the-money; loss of $1,950 O out-of-the-money; loss of $312.50
D Question 12 8 pts Please answer the next question based on the following quotes on currency options contracts for Swiss francs (CHF), where each contract has 62,500 CHFs. Exercise prices, call and put premiums are in cents. Calls Vol. Last Puts Vol. Last 62,500 Swiss Francs-European Style. 77 Oct 77 Dec 31 10 2.78 3.60 --- 78 Nov 47 0.23 78 Dec 14 2.66 100 0.43 79 Oct 50 0.27 --- 79 Nov 79 Dec 80 Nov Dec 81 Oct 81 Nov 81 Dec Nov Nov tunu 1.59 2.04 1.00 1.39 Dec 0.20 is 3.12 --- You buy one November PUT options contract with an exercise price of $0.83. If at the time of the option expiration date price for Swiss francs is $0.835, then this call option is and you incur a net O in-the-money; loss of $2,262.50 O out-of-the-money; loss of $1,950 O out-of-the-money; loss of $312.50
Chapter11: Managing Transaction Exposure
Section: Chapter Questions
Problem 45QA
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