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a) What is your profit 1 month later if you have taken a long position on the stock at t=0? b) What is your profit

a) What is your profit 1 month later if you have taken a long position on the stock at t=0?

b) What is your profit 1 month later if you have taken a short position on the stock at t=0?

c) What is your payoff 1 month later if you have taken a long position on the forward at t=0?

d) What is your profit 1 month later if you have taken a short position on the forward at t=0?

Index level today (t=0)

22688.90

Forward price (T=1 month)*

22759

Forward Contract Size**

1

Spot annualized 1-month interest rate

2.94% p.a. (c.c.)

Call option Premium (Strike = 23000)

410

Put option Premium (Strike = 23000)

719

Dividend yield

0%

Index level 1 months later

22900

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