QUESTION EDEXCEL:

The risk-free interest rate is very low and analysts assume it is equal to 0% for valuation purposes. The two-month futures price is $9. The underlying asset does not pay any dividends and does not generate any storage costs. The two-month European call option, written on the same underlying asset as the futures contract, has a strike price of $21 and its price is $1. A trader enters into one short futures position and buys two call options.

Question: find the highest value of the underlying asset for which the possible loss at maturity attains its maximum, as well as the magnitude of this maximal loss. Express both results in dollarss [$] rounded

value = ?

Magnitude = ?