Please answer the next question based on the following quotes on currency options contracts for Swiss francs (CHF), where each contract has 62,500 CHFs. Exercise prices, call and put premiums are in cents. Calls Vol. Last Puts Vol. Last 62,500 Swiss Francs-European Style. 77 Oct 10 2.78 77 Dec 31 3.60 78 Nov 47 0.23 78 Dec 14 2.66 100 0.43 79 Oct 50 0.27 79 Nov 5 1.59 79 Dec 5 2.04 80 Nov 5 1.00 80 Dec 21 1.39 81 Oct 1.41 81 Nov 0.59 10 1.55 81 Dec 6 645 0.99 82 Nov 10 0.33 83 Nov 47 0.20 is 3.12 83 Dec 6 0.40 You buy one November PUT options contract with an exercise price of $0.81. If at the time of the option expiration date, the spot price for Swiss francs is $0.815, then this Put option is _, and you incur a net in-the-money; profit of $312.50 O out-of-the-money; loss of $312.50
Please answer the next question based on the following quotes on currency options contracts for Swiss francs (CHF), where each contract has 62,500 CHFs. Exercise prices, call and put premiums are in cents. Calls Vol. Last Puts Vol. Last 62,500 Swiss Francs-European Style. 77 Oct 10 2.78 77 Dec 31 3.60 78 Nov 47 0.23 78 Dec 14 2.66 100 0.43 79 Oct 50 0.27 79 Nov 5 1.59 79 Dec 5 2.04 80 Nov 5 1.00 80 Dec 21 1.39 81 Oct 1.41 81 Nov 0.59 10 1.55 81 Dec 6 645 0.99 82 Nov 10 0.33 83 Nov 47 0.20 is 3.12 83 Dec 6 0.40 You buy one November PUT options contract with an exercise price of $0.81. If at the time of the option expiration date, the spot price for Swiss francs is $0.815, then this Put option is _, and you incur a net in-the-money; profit of $312.50 O out-of-the-money; loss of $312.50
Chapter7: International Arbitrage And Interest Rate Parity
Section: Chapter Questions
Problem 40QA
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Transcribed Image Text:Please answer the next question based on the following quotes on currency options contracts for Swiss
francs (CHF), where each contract has 62,500 CHFs. Exercise prices, call and put premiums are in cents.
Calls
Vol. Last
Puts
Vol. Last
62,500 Swiss Francs-European Style.
77 Oct
10 2.78
77
Dec
31
3.60
78
Nov
47
0.23
78
Dec
14
2.66
100
0.43
79
Oct
50
0.27
79
Nov
5
1.59
79
Dec
5
2.04
80
Nov
5
1.00
80
Dec
21
1.39
81
Oct
1.41
81
Nov
0.59
10
1.55
81
Dec
6
645
0.99
82 Nov
10
0.33
83
Nov
47
0.20
is
3.12
83
Dec
6
0.40
You buy one November PUT options contract with an exercise price of $0.81. If at the time of the option
expiration date, the spot price for Swiss francs is $0.815, then this Put option is
_, and you incur a net
in-the-money; profit of $312.50
O out-of-the-money; loss of $312.50
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