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Type or paste question her 180 day maturity($/pound) 90 day maturity ($/pound) difference($/pound) SO X SO X ra ra Spot rate (domestic foreign) Strike rate
Type or paste question her
180 day maturity($/pound)
90 day maturity ($/pound)
difference($/pound)
SO X SO X ra ra Spot rate (domestic foreign) Strike rate domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) re T $1.8674 $1.8000 1.453% 4.525% 0.247 90.00 9.400% re T 0.5355 0.5556 4.525% 1.453% 0.247 90.00 9.400% s S c Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) S0.0669 $0.0137 0.0041 0.0199 Call option premium (%) Put option premium (%) 3.58% 0.74% 0.76% 3.71% P P SO X SO X ra ra Spot rate (domestic foreign) Strike rate domestic/foreign) Domestic interest rate (% p.a.) Foreign interest rate (% p.a.) Time (years, 365 days) Days equivalent Volatility (% p.a.) re T $1.8674 $1.8000 1.453% 4.525% 0.247 90.00 9.400% re T 0.5355 0.5556 4.525% 1.453% 0.247 90.00 9.400% s S c Call option premium (per unit fc) Put option premium (per unit fc) (European pricing) S0.0669 $0.0137 0.0041 0.0199 Call option premium (%) Put option premium (%) 3.58% 0.74% 0.76% 3.71% P PStep by Step Solution
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The Market Takers Edge Insider Strategies From The Options Trading Floor
Authors: Dan Passarelli
1st Edition
007175492X,0071754946
