1) Suppose Laura Luckett believes the Korean won will rise in value against the US dollar by March, and took an appropriate position in March futures contract in the amount of 1,000,000,000 won. Assume today's spot rate of 1,150 won/$ and the future spot rate of 1,085 won/$, and calculate the value of her position at maturity, using the quotes on Korean won futures in the following table:
Maturity Open High Low Settle
Mar 1,111 1,115 1,105 1,110
June 1,095 1,108 1,090 1,094
Sep 1,092 1,104 1,085 1,090
Value of her position at maturity is $ ________ . (Note: Round your answer to the nearest $, and add a negative sign if necessary.)
2) Suppose Sarah Servantes believes the Euro will fall in value against the U.S dollar by March, and took an appropriate position in March futures contract in the amount of 1, 000,000 Euros. Assume today's spot rate of 1.20 $/Euro and the future spot rate of 1.150$/Euro, and calculate the value of her position at maturity, using the quotes on Euro futures in the following table:
Maturity Open High Low Settle
Mar 1.18 1.20 1.15 1.17
June 1.14 1.18 1.11 1.13
Sep 1.12 1.15 1.10 1.11
Value of her position at maturity is $ ________ . (Note: Round your answer to the nearest $, and add a negative sign if necessary.)
3) Suppose Laura Calhoun has an account payable in the amount of 2,000,000 Swiss Franc (SF) and wants to hedge her account against a potential appreciation of SF against the U.S. dollar by August. She took an appropriate SF option position today using the quotes on currency options in the following table (unit = US cents/SF):
Call-Last Puts-Last
Underlying Strike Price Aug Sep Dec Aug Sep Dec
58.50 58 0.79 1.05 1.28 0.27 0.89 1.80
Assume the future spot rate turns out to be 0.65 $/SF, and calculate the amount of option premium that Laura paid today: $ ________
4) Suppose Laura Calhoun has an account payable in the amount of 1,000,000 Swiss Franc (SF) and wants to hedge her account against a potential appreciation of SF against the U.S. dollar by August. She took an appropriate SF option position today using the quotes on currency options in the following table (unit = US cents/SF):
Call-Last Puts-Last
Underlying Strike Price Aug Sep Dec Aug Sep Dec
58.50 58 0.71 1.05 1.28 0.27 0.89 1.80
Assume the future spot rate turns out to be 0.63 $/SF, and calculate the amount of of profit or loss net of premium from her options position at maturity:: $ ________ (Note: Round your answer to the nearest $ and add a negative sign for a loss.)
5)
Suppose Laura Calhoun has an account payable in the amount of 1,000,000 Swiss Franc (SF) and wants to hedge her account against a potential depreciation of SF against the U.S. dollar by August. She took an appropriate SF option position today using the quotes on Euro currency options in the following table (unit = US cents/SF):
Call-Last Puts-Last
Underlying Strike Price Aug Sep Dec Aug Sep Dec
58.25 58 1.21 1.55 1.78 1.20 1.49 1.92
Assume the future spot rate turns out to be 0.575 $/SF, and calculate the amount of of profit or loss net of premium from her options position at maturity:: $ ________ (Note: Round your answer to the nearest $ and add a negative sign for a loss.)