Question: A trader has written a call and a put on the Canadian dollar. The following information is available: Size of option contract = CAD400,000 Price

A trader has written a call and a put on the Canadian dollar. The following information is available: Size of option contract = CAD400,000 Price of call = AUD0.01/CAD Price of put = AUD0.01/CAD Exercise exchange rate of call = AUD0.96/CAD Exercise exchange rate of put = AUD0.94/CAD Calculate the net pay-off on the short call and the short put at the following spot exchange rates (AUD/CAD):

(i) 0.99

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