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Part 2: Interest rate options
Below are snippets of the September 2013 option Eurodollar
quotes (not 1 answer below » Part 2: Interest rate options Below are snippets of the September 2013 option Eurodollar
quotes (notice the first set of quotes is for calls and the second
is for puts). Note that on the date of these quotes, the Eurodollar
future is quoted at 1.30170 or 130.170% of the contract size, which
is $1 million. The option prices in these quotes are given as % of
$1,000,000. For example, the cost of the 1165 Call option = .1513%
of $1,000,000 or $1513. Use these quotes to compute the profit or loss on the following
option positions if when the options expire, the Eurodollar
is quoted at 1175 or 117.5% View complete question » Part 2: Interest rate options Below are snippets of the September 2013 option Eurodollar
quotes (notice the first set of quotes is for calls and the second
is for puts). Note that on the date of these quotes, the Eurodollar
future is quoted at 1.30170 or 130.170% of the contract size, which
is $1 million. The option prices in these quotes are given as % of
$1,000,000. For example, the cost of the 1165 Call option = .1513%
of $1,000,000 or $1513. Use these quotes to compute the profit or loss on the following
option positions if when the options expire, the Eurodollar
is quoted at 1175 or 117.5% of $1 million . In all cases,
you are computing the profit or loss for ONE CONTRACT assuming that
the option was purchased (or sold) at the A????1LastA????1 rate (see bolded
column name). Strike Session: September 2013 Eurodollar Calls Pr. Day Expiry Open High Low Last Time Set Chg Vol Set Op Int future 1.30430 1.31080 1.29950 1.30170 15:30 Jun 28 1.30230 -0.00290 231530 1.30520 200611 1165 – – – 0.15130 16:34 Jun 27 0.13750 -0.00290 – 0.14040 – 1170 – – – 0.14690 16:34 Jun 27 0.13260 -0.00290 – 0.13550 – 1175 – – – 0.14260 16:34 Jun 27 0.12760 -0.00300 – 0.13060 – 1180 – – – 0.13840 16:34 Jun 27 0.12270 -0.00300 – 0.12570 – 1185 – – – 0.13420 16:34 Jun 27 0.11780 -0.00300 – 0.12080 – 1190 – – – 0.13000 16:34 Jun 27 0.11300 -0.00300 – 0.11600 – 1195 – – – 0.12590 16:34 Jun 27 0.10820 -0.00290 – 0.11110 – Strike Session: September, 2013 Puts Pr. Day Expiry Open High Low Last Time Set Chg Vol Set Op Int future 1.30430 1.31080 1.29950 1.30190 15:31 Jun 28 1.30230 -0.00290 231530 1.30520 200611 1160 0.00030 0.00030 0.00030 0.00030 09:11 Jun 28 0.00030 -0.00005 9 0.00035 412 1165 – – – 0.00045 16:34 Jun 27 0.00035 -0.00005 – 0.00040 22 1170 0.00040 0.00060 0.00040 0.00060 13:15 Jun 28 0.00045 -0.00005 21 0.00050 356 1175 – – – 0.00070 16:34 Jun 27 0.00050 -0.00010 – 0.00060 85 1180 0.00060 0.00060 0.00050 0.00050 08:04 Jun 28 0.00060 -0.00010 5 0.00070 749 1185 – – – 0.00100 16:34 Jun 27 0.00070 -0.00010 1 0.00080 301 1190 0.00070 0.00070 0.00070 0.00070 08:03 Jun 28 0.00090 -0.00010 2 0.00100 328 1195 0.00100 0.00100 0.00100 0.00100 09:46 Jun 28 0.00110 – 10 0.00110 310 1200 0.00100 0.00130 0.00100 0.00130 13:44 Jun 28 0.00130 – 179 0.00130 3711 Option quotes for Eurodollar futures contracts Source: TradingCharts.com. (2013). Commodities futures price
quotes . Retrieved
fromhttp://futures.tradingcharts.com/marketquotes/E6.html Compute the profit or loss assuming the following positions
(again, assuming that at maturity Eurodollars are quoted at
1175). 1. You buy a 1165 call. 2. You buy a 1165 put. 3. You buy a 1190 call. 4. You buy a 1190 put. 5. You sell a 1195 call. 6. You sell a 1195 put. 7. You sell a 1170 call. 8. You sell a 1170 put. View less » Aug 05 2015 07:28 AM
