What is the purpose of using a call spread on RUBUSD instead of a buying RUB forward, when initiating a carry trade? I would like to use options on RUB futures to do a carry trade on RUBUSD. Assume the current spot rate is .01516 USD per RUB and the December futures price is .01503 USD per RUB. The notional of 1 contract is 2,500,000 RUB. The call prices for strikes .01500 USD per RUB and .01600 USD per RUB are respectively .000380 USD per RUB and .000110 USD per RUB; quoted USD per RUB where .000005 = 12.50 USD. If my underlying portfolio has AUM 25,000,000 RUB equivalent and I do not wish to lever, how many contracts should I use; and what would be the break-even futures price, the worst case, and the best case? For best case and worst case you need to state at what futures price(s) it occurs and the amount.