The CME has published the following strike prices for puts and calls traded today for GBP exchange rates.  

Xput-90days = 1.47 USD/GBP, Pp = USD 0.020

Xcall-90days = 1.48 USD/GBP, Pc = USD 0.015

Xcall-90days = 1.52 USD/GBP, Pc = USD 0.014

 

As an advisor you suggest to take the collar strategy to hedge the GBP receivables: buying a put option and selling a call (the one that is out of the money). What is the premium for the collar strategy? What is the Net Floor and Net Cap for the collar strategy?

Answer rating: 100% (QA)

The collar strategy in foreign exchange involves buying a put option to define a floor t... View the full answer