Cerebros Fund had the following trades in ABB in the options market through James Brothers Brokers. The stock exchange requires that the writer of the options maintain 10 percent of the value of the contract as margin money throughout the life of the contract. On January 1, Cerebros introduced $125,000 as capital.

Transcribed Image Text:

Date Product Strike Expiry Quantity Rate (S$) B/S Brokerage Price (S$) 20-Jan-X1 Put S$ 50 17-Mar-X1 15,000 9.00 B 600 22-Feb-X1 Put S$ 50 12-Mer-X1 Put 17-Mar-X1 S$ 50 17-Mar-X1 14,000 12,000 5.00 B 520 6.00 S 700 Liquidation Method FIFO Market Rate of Underlying Stock, ABB January 31: 48.00 February 28: 44.00 March 16: 55.00 Market Rate of ABB Put Option with Strike Price $50, Expiry March 17 January 31: 3.00 February 28: 5.00 FX Rate SS/US$ January 20: 1.5210 January 31: 1.532 February 22: 1.4956 February 28: 1.500 March 12: 1.5148 March 17: 1.5463