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Option - Exercise 2 - Solution

The document discusses foreign exchange rates between the British pound and US dollar on October 3rd and 10th, 1989 on the Philadelphia Stock Exchange. It provides tables of call and put option prices on different dates and calculates the profits and losses of an investor who bought 20 call options on the British pound at an exchange rate of 1.625 on October 3rd. When the spot rate on October 10th was 1.5555, the investor's profit after fees was $39,687.50. A second table shows potential profits and losses at different hypothetical spot rates on October 10th. The maximum loss is the premium of $3,750 paid initially, while the maximum gain is unlimited if the spot rate falls below the exercise price

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178 views3 pages

Option - Exercise 2 - Solution

The document discusses foreign exchange rates between the British pound and US dollar on October 3rd and 10th, 1989 on the Philadelphia Stock Exchange. It provides tables of call and put option prices on different dates and calculates the profits and losses of an investor who bought 20 call options on the British pound at an exchange rate of 1.625 on October 3rd. When the spot rate on October 10th was 1.5555, the investor's profit after fees was $39,687.50. A second table shows potential profits and losses at different hypothetical spot rates on October 10th. The maximum loss is the premium of $3,750 paid initially, while the maximum gain is unlimited if the spot rate falls below the exercise price

Uploaded by

alex
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Baûng 1 vaø 2 ñöôïc trích ra tö ø Financial Times coâng boá : giaù thöïc hieän,...

cuûa baûng
Anh ñoái vôùi USD thöông löôïng vaøo ngaøy 3 vaø 10 thaùng 10 naêm 1989 treân thò
tröôøng Philadelphia Stock Exchange.

1. Ngaøy 3/10, giaù löïa choïn baùn baûng Anh thu USD kyø haïn thaùng 12 coù giaù thöïc
hieän laø 1,6150 laø bao nhieâu?

0.11 cent/pound

2. Ñieåm cheát (giaù löïa choïn maø töø ñoù baét ñaàu loã) cuûa ngöôøi mua löïa choïn baùn baûng
Anh thu USD kyø haïn thaùng 12, vôùi giaù thöïc hieän 1,6150 ? (baûng 1)

161.50 – 0.11 = 161.39 cent

Ngaøy 3/10/1989, moät ngöôøi mua 20 löïa choïn baùn baûng Anh thu USD kyø haïn thaùng
12, giaù thöïc hieän 1,625.
3. Tính leä phí ngöôøi naøy phaûi traû.

0.6 x 31,250 x 20 = 3750 USD

Ngaøy 10/10 caùc löïa choïn naøy ñöôïc thöïc hieän, giaù giao ngay taïi thò tröôøng vaøo thôøi
ñieåm ñoù laø 1,5555.
4. Lôïi nhuaän ngöôøi nayø thu ñöôïc laø bao nhieâu neáu coù tính ñeán leä phí?

(1.625 – 1.5555) x 31,250 x 20 - 3750 = 39,687.5USD

Ngaøy 10/10/1989, baûng Anh ñöôïc ñònh giaù laø 1.555, nhöng giaû söû noù coù theå ñöôïc
ñònh caùc giaù khaùc nhau nhö trong baûng 3.
5. Ñieàn vaøo baûng 3ø xaùc ñònh, theo caùc loaïi giaù giao ngay khaùc nhau, möùc lôøi, loã cuûa
ngöôøi thöïc hieän 20 löïa choïn baùn baûng Anh laáy USD kyø haïn thaùng 12 vôùi giaù thöïc
hieän laø 1,625 maø anh ta ñaõ mua ngaøy 3/10/1989.

6. Bieåu dieãn keát quaû thu ñöôïc töø caâu 5 baèng ñoà thò.
7. Baïn coù theå coù keát luaän gì veà lôøi vaø loã tieàm naêng cuûa moät ngöôøi mua löïa choïn
baùn?

- Limited loss = premium when the spot rate > exercise price
(=1,625c/pound)
- Unlimited gain when the spot rate < exercise price (=1,625c/pound)

8. Ngaøy 10/10 xaùc ñònh möùc lôøi cuûa ngöôøi baùn laïi 20 löïa choïn baùn baûng Anh thu
USD maø anh ta ñaõ mua tröôùc ñoù vaøo ngaøy 3/10, kyø haïn thaùng 12, giaù thöïc hieän
1,625.

(1.6- 0.6) x 31,250 x 20 = 6,250 USD

9. So saùnh keát quaû taøi chính thu ñöôïc töø caâu 8 vaø caâu 4. Keát luaän.

- Add your own comment here…..

Baûng 1: GBP (Phlx)-GBP 31250; US cents per pound

Exercise Call Option- Choïn mua Put Option- Choïn baùn


Price -Giaù
thöïc hieän
Dec.-C Mar. - C Apr. - C Dec.-P Mar. - P Apr. - P
1,6150 2.46 2.63 0.11 0.29
1,6200 1.63 1.87 2.21 0.28 0.52 0.65
1,6250 0.96 1.27 1.60 0.60 0.91
1,6275 0.50 0.80 1.14 1.44
1,6300 0.25 0.50 2.13
1,6350 0.30
Financial Times. Oct. 03

Baûng 2: GBP (Phlx)-GBP 31250; US cents per pound


Exercise Call Option- Choïn mua Put Option- Choïn baùn
Price -Giaù
thöïc hieän
Dec.-C Mar. - C Apr. - C Dec.-P Mar. - P Apr. - P
1,6150 3.46 3.63 1.11 1.29
1,6200 2.63 2.87 3.21 1.28 1.52 1.65
1,6250 1.96 2.27 2.60 1.60 1.91
1,6275 1.50 1.80 2.14 2.44
1,6300 1.25 1.50 3.13
1,6350 1.30
Financial Times. Oct. 10
Baûng 3

Tæ giaù giao ngay Leä phí Lôïi nhuaän thu Loã phaûi chòu neáu Lôøi hay loã thaät
ngaøy 10/10/1989 ñöôïc neáu thöïc thöïc hieän löïa söï
hieän löïa choïn choïn
1,3555 3750 USD 168,437.5USD + 164,687.5
USD
1,4055
3750 USD
1,4555
3750 USD
1,5055
3750 USD
1,5555

1,5755
3750 USD
1,6055
3750 USD
1,6255 0
-3750

1,6555 3750 USD 0


-3750

1,7055 3750 USD 0


-3750

1,7555 0
3750 USD -3750

(1.625 – 1.3555) x 31,250 x 20 = 168437.5USD

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