please answer #5

4. A firm is expecting to receive $100M in 6 months and wishes to invest it for another 6 months. But the firm is worried about a potential decline in interest rates. Because of their flexibility, the firm decides to use call options on the 6-month T-bill. A call option on the 6-month T-bill with 6-month maturity exists with strike $96.02 (per $100 face value) and $0.28 premium. The current price of the 6- month T-bill is $95.24 per 100 face value.

a) How many call options does the firm need? b) What is the option payoff if 6-month T-bill price is $97.5 at option's maturity? c) What is the option payoff if 6-month T-bill price is $95.5 at option's maturity? d) What is the total cost of purchasing call options at t=0? e) What is the gross annualized ROI if 6-month T-bill price is $97.5 at option's maturity?

This is what I got for question 4:

4) a 100 m / 100 b 97. 5 - 96 02 = $1 48 for every $100 FV C ) qs. s - 96. 02 = - 0.52 for every $100 FV, SO pay off is tero per option conTACt d ) 100m * 0.20 premium = 120, 000 e ) / 1- 48 ) ( 2 ) 1057. 14.1 0. 2 8