. Using the market data in the above Exhibit 7.6, show the net terminal value of a long position in one 132 Aug Euro European call contract at the following terminal spot prices (stated in US cents per euro cents) : 122, 125, 132, 137, 140. Ignore any time value of money effect.

Hint: The net terminal value of one call contract is:

{ Max [ S_T E, 0 ] C_e } x 10,000 / unit 100, where 10,000 is the contract size of one euro contract.

1. At 122:

2. At 125:

3. At 132:

4. At 137:

5. At 140:

Puts 100.79 NASDAQ OMX PHLX Options Calls Japanese Yen 1,000,000 J.Yen 100ths of a cent per unit. 99 Jun 2.44 100 Jun 1.78 101 Jun 1.20 102 Jun .85 99 Aug 3.40 100 2.83 101 2.30 102 Aug 1.85 Euro 10,000 Euro-cents per unit. 129 Jun 2.29 130 Jun 1.56 131 Jun .97 132 Jun .54 133 Jun .27 129 Aug 3.18 130 2.52 131 1.95 132 1.47 133 1.07 .57 .91 1.39 2.01 1.56 1.97 3.78 2.98 Aug Aug 130.92 .36 .62 1.04 1.61 2.34 1.21 1.56 1.99 2.50 3.10 Aug Aug Aug Aug Puts 100.79 NASDAQ OMX PHLX Options Calls Japanese Yen 1,000,000 J.Yen 100ths of a cent per unit. 99 Jun 2.44 100 Jun 1.78 101 Jun 1.20 102 Jun .85 99 Aug 3.40 100 2.83 101 2.30 102 Aug 1.85 Euro 10,000 Euro-cents per unit. 129 Jun 2.29 130 Jun 1.56 131 Jun .97 132 Jun .54 133 Jun .27 129 Aug 3.18 130 2.52 131 1.95 132 1.47 133 1.07 .57 .91 1.39 2.01 1.56 1.97 3.78 2.98 Aug Aug 130.92 .36 .62 1.04 1.61 2.34 1.21 1.56 1.99 2.50 3.10 Aug Aug Aug Aug