12M EUR/USD 1.1166 USD/JPY 108.19 GBP/USD 1.2938 USD/CHF 0.9857 USD/CAD 1.3142 AUD/USD 0.6903 NZD/USD 0.6427 EUR/CAD 1.4675 EUR/CHF 1.1006 EUR/GBP 0.8628 EUR/JPY 120.80 EUR/AUD 1.6175 GBP/JPY 139.98 USD/CNH 7,0431 USD/ILS 3.5335 USD/MXN 19.125 USD/TRY 5.7139 XAU/USD 1514.3 USD Pips Vols GBP Pips GBP % GBP/USD Options expiring 2019-12-03 (30 Days) O/N 1W 2WD 1ML 2M 3M 6M Put Options Delta Price Strike Price Delta Vol Skew -0.20 0.00348 1.2700 0.02848 0.80 7.90% 0.38% -0.24 0.00447 1.2750 0.02448 0.75 7.77% 0.25% -0.30 0.00561 1.2800 0.02062 0.70 7 .65% 0.13% -0.36 0.00727 1.2850 0.01729 0.64 7.56% 0.04% -0.43 0.00919 1.2900 0.01411 0.57 7.50% -0.02% -0.49 0.01146 1.2950 0.01149 0.50 7.47% -0.05% -0.56 0.01415 1.3000 0.00919 0.44 7.46% -0.06% -0.63 0.01711 1.3050 0.00726 0.37 7.48% -0.04% -0.69 0.02053 1.3100 0.00569 0.31 7.53% 0.01% -0.75 0.02436 1.3150 0.00432 0.25 7.60% 0.08% Vega 0.0011 0.0012 0.0013 0.0014 0.0015 0.0015 0.0015 0.0014 0.0013 0.0012 14% 13% 12% 11% Implied volatility Current - Week ago Month ago 5 0 +.25 -10 -25 Put delta +.10 Call delta Disclaimer This table indicates that the current exchange rate between US dollar and British pound is $1.2938/. The price of the call option expiring in 1 month with the exercise price $1.3100/ is $0.0056. The price of the matching put option (expiring in 1 month, with the exercise price $1.3100/) is $0.0205. 1. This information implies a. both the call option and the put option are in-the-money. b. both the call option and the put option are out-of-the-money. c. the call option is in-the-money, while the put option is out-of-the-money. d. the call option is out-of-the-money, while the put option is in-the-money. 2. The intrinsic value of the call option above is a. $0.0162. b. $0.0084. c. $0. d. -$0.0162. 3. The speculative (time) value of the put option above is a. $0. b. $0.0043 c. $0.0162. d. $0.0205