The current spot exchange rate is $1.25/ and the three-month forward rate is $1.30/. Consider a three-month

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Question:

The current spot exchange rate is $1.25/€ and the three-month forward rate is $1.30/€. Consider a three-month European put option on €125,000 with a strike price of $1.20/€. If you pay an option premium of $5,000 to buy this put option, at what exchange rate will you break-even?

a. $1.24/€
b. $1.16/€

c. $1.20/€

d. $1.34/€