c. You find the following information about option contracts on futures for a 1-year bond deliverable...
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c. You find the following information about option contracts on futures for a 1-year bond deliverable one year from now. The deliverable bond has one year to maturity, 6% annual coupon rate with a face value of $100,000. [Note: quotes for the futures are based on a tick size of 1/32nds and quotes for the option premium are based on a tick size of 1/64ths] Expiration One year from today Call 2'17 1'55 1'22 1'05 0'60 0'13 FUTURES Last Quote 100'07 OPTIONS expiring one year from today Strike Price 99.0 99.5 100.0 100.5 101.0 101.5 Change -0'07 Put 0'30 0'39 0'63 1'15 1'54 2'13 Based on this information, use the strike price listed next to your name in the table below (see next page) and compute both the payoff and the profit from buying that call option. Assume that the investor is correct about the price of the bond next year. c. You find the following information about option contracts on futures for a 1-year bond deliverable one year from now. The deliverable bond has one year to maturity, 6% annual coupon rate with a face value of $100,000. [Note: quotes for the futures are based on a tick size of 1/32nds and quotes for the option premium are based on a tick size of 1/64ths] Expiration One year from today Call 2'17 1'55 1'22 1'05 0'60 0'13 FUTURES Last Quote 100'07 OPTIONS expiring one year from today Strike Price 99.0 99.5 100.0 100.5 101.0 101.5 Change -0'07 Put 0'30 0'39 0'63 1'15 1'54 2'13 Based on this information, use the strike price listed next to your name in the table below (see next page) and compute both the payoff and the profit from buying that call option. Assume that the investor is correct about the price of the bond next year.
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To compute the payoff and profit from buying a call option we need to determine the strike price and ... View the full answer
Related Book For
Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
Posted Date:
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