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Suppose that you have access to the following derivatives, all denominated in Yuan with a maturity of Nov 17: A future with a contract price
Suppose that you have access to the following derivatives, all denominated in Yuan with a maturity of Nov 17: A future with a contract price of CNY 6.7 / $. A put with a strike of CNY 7 / $ for a price of 0.37 Yuan per dollar of exposure. A put with a strike of CNY 6.5 / $ for a price of 0.10 Yuan per dollar of exposure.
What is the profit of the long side of each of these derivatives, in Yuan, if the eventual spot rate is CNY 6/$? CNY 6.5/$? CNY 7/$? CNY 7.5/$?
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