Below are foreign currency option quotes for the Swiss franc (CHF).

62,500 Swiss francs cents per unit

Calls Puts

Vol Last Vol Last

82 September 10 0.98 10 2.22

A firm anticipates payment of Swiss franc (CHF) 125,000 in September, on the same day that options on the CHF expire. The firm hedges the risk of a depreciation of the CHF with one of those options and at the same time sells the other equivalent option to reduce the overall premium. What does the firm gain and lose with the combined option positions on the expiration date? (Hint: Take the appreciation option positions and then evaluate separately what happens if the CHF rises and falls in the spot market.)