Refer to the information given for problem 9. You hedged your financial firm’s exposure to increasing interest rates by buying one September put on Treasury bond futures at the premium quoted for April 15 of the same year (see Exhibit 8-4).
a. How much did you pay for the put in dollars if you chose the strike price of 11000? (Remember that premiums are quoted in 64ths.)
b. Using the above information for trades on June 10, if you sold the put on June 10 due to a change in circumstances would you have reaped a profit or loss? Determine the amount of the profit or loss.