Show graphically and in a table the profit and T-bill futures price relationships at expiration for the following positions on T-bill futures options. In each case, assume that the T-bill futures call and put options each have exercise prices of

$987,500 (IMM index = 95) and premiums of $1,250. Evaluate at spot discount yields at expiration of 6.5%, 6%, 5.5%, 5%, 4.5%, 4%, and 3.5%.

a. A straddle purchase formed with T-bill futures call and put options.

b. A straddle write formed with T-bill futures call and put options.

c. A simulated long T-bill position formed by buying a T-bill futures call and selling a T-bill futures put.

d. A simulated short T-bill position formed by selling a T-bill futures call and buying a T-bill futures put.