Suppose the call premium for one contract on the Canada 5s of 2035 is currently $1,240 for a strike price of $104,205, and the put premium is $1,200 for a similar strike price. Suppose the price of the Canada bond happens to be $103,852 in July. Based on your answer in (a) above: (Note: Enter all your answers to three decimal places):

i) Calculate the (intrinsic) value per contract of your option at the expiry date.

ii) Calculate your profit or loss per contract from the option. (3 marks)

iii) Calculate the break-even expiry price of the underlying for the option.

Answer rating: 100% (QA)

1 Intrinsic value of call option at a strike price of 104205 will be NIL when the bond price falls b... View the full answer