c) Using the information below from the FT answer the following question. SHORT STERLING OPTIONS (Euronext.liffe) 500,000 100-rate CALLS............ Strike price Mar 21 i. ii. 94750 94875 95000 - Apr iv. 0.190 0.080 0.020 May 0.195 0.095 0.035 0.005 : Jun 0.205 0.110 0.045 0.015 0.005 .............. PUTS ....... Apr May 0.005 0.030 0,095 95125 95250 95375 Est. vol. total, Calls 45,800 Puts 28,601 Previous day's open interest, Calls 3,362,136 Puts 773.234. Set up the hedge required at 21st March? 0.015 0.080 0.185 0.310 0.435 Today is the 21st of March. If you are due to invest 50 million in June for three months and you want to achieve a minimum rate on your investment and use the 95125 option. The tick value is 12.50, and the contract value is 500,000. 0.190 0.310 0.435 Jun 0.015 0.045 0.105 0.200 16 0.315 0,435 Draw a graph illustrating this position, highlighting the maximum and minimum rates on your investment and the premium on the option. The graph required is an option payoff chart. iii. Express the value of this option in terms of time value and intrinsic value if the price of the underlying June future contract is 94.94? Illustrate the cashflows on the investment and the option if the interest rate on the expiry of the option is 4.2% with a futures price of 95.8. (10 marks)