Question
1. Using the quotations in the following table, calculate the US dollar value of the open interest in the June and September Swiss franc futures
1. Using the quotations in the following table, calculate the US dollar value of the open interest in the June and September Swiss franc futures contracts.
Please show your work.
Open | High | Low | Settle | Change | Open interest | |
Canadian Dollar (CME)-CAD 100,000; $ per CAD | ||||||
June | .7724 | .7768 | .7714 | .7753 | .0023 | 118,862 |
Sept | .7719 | .7766 | .7715 | .7753 | .0023 | 2,744 |
British Pound (CME)-62,500; $ per | ||||||
June | 1.4353 | 1.4416 | 1.4333 | 1.4391 | .0023 | 238,280 |
Sept | 1.4356 | 1.4421 | 1.4342 | 1.4398 | .0023 | 1,796 |
Swiss Franc (CME)-CHF 125,000; $ per CHF | ||||||
June | 1.0258 | 1.0271 | 1.0231 | 1.0235 | .0032 | 43,970 |
Sept | 1.0300 | 1.0300 | 1.0276 | 1.0282 | .0032 | 178 |
2. You write a put option on JPY with a strike price of USD0.008/JPY (JPY125.00/USD) at a premium of USD0.008 per JPY and with an expiration date six months from now. The option is for JPY12,500,000.
What is your profit or loss at maturity if the ending spot rates are:
JPY110.00/USD
JPY122.00/USD
JPY135.00/USD
JPY140.00/USD
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