45. Marcie purchases a call option on interest rate futures with an exercise pri

Question

45. Marcie purchases a call option on interest rate futures with an exercise price of 92-10. The premium on the call option is 2-24. Just before the expiration date, the price of Treasury bond futures is 97-14. At this time, Marcie decides to exercise the option and closes out the position by selling an identical futures contract. Marcie's net gain from this strategy is $____.

a.

2,687.50

b.

2,687.50

c.

2,375.00

d.

7,437.50

e.

none of the above

a.

2,687.50

b.

2,687.50

c.

2,375.00

d.

7,437.50

e.

none of the above

Explanation / Answer

Price of Call Option Bought= 2.24+92.1=94.34

Option Sold at Future Rate=97.14

Total Gain=2.8*1000=2687.5(approx)

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