An FI manager writes a call option on a T-bond futures contract with an exer- cise price

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An FI manager writes a call option on a T-bond futures contract with an exer- cise price of 114 at a quoted price of 0-55.

a. What type of opportunities or obligations does the manager have?

b. In what direction must interest rates move to encourage the call buyer to exercise the option? LO.1

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Financial Institutions Management A Risk Management Approach

ISBN: 9780073530758

7th Edition

Authors: Anthony Saunders, Marcia Cornett

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Question Posted: Jul 24, 2024 08:05 AM

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An FI manager writes a call option on a T-bond futures contract with an exer- cise price

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Financial Institutions Management A Risk Management Approach

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