2. If you sold a Swiss franc futures contract at time t and the exchange rate has evolved as shown in the table below, what would your cash flows have been? The contract size for the euro contract is assumed to be EUR 125,000. The initial margin is $2,000, and the maintenance margin is $1,500 (minimum balance in the margin account). Complete the table below to show the final balance in the margin account at the end of day t+6.
Day Futures Settle       Change in Futures Gain or Loss    Margin Account
      Price (EUR/USD)    price (EUR/USD)
t       1.3321                                                                                     $2,000.00
t+1    1.3315
t+2    1.3304
t+3    1.3288
t+4    1.3264
t+5    1.3296
t+6    1.3301
b. Given the following information, how much would you have paid on September 16 to purchase a British pound call option contract with a strike price of 155 and a maturity of October?
                                                                           Calls                      Puts
50,000 Australian Dollar Options (cents per unit)
64 Oct                                                                   -                         0.48
65 Oct                                                                   -                         0.90
67 Oct                                                                0.22                            -
31,250 British Pounds (cents per unit)
152.5 Dec                                                             -                            4.10
155 Oct                                                                1.50                         3.62
155 Nov                                                                2.35                            -
c. Using the above information, how much would you have paid to purchase an Australian dollar put option contract with a strike rate of 65 and an October maturity?
d. Angela Jones sold a call option on New Zealand dollars for AUD 0.0132 per unit. The strike price was AUD 0.9512 and the spot rate at the time the option was exercised was AUD 0.9873. Assume Angela did not obtain New Zealand dollars until the option was exercised. Also, there are 10,000 units in a New Zealand dollar option contract. What was Angela’s net profit on the call option?

2. If you sold a Swiss franc futures contract at time t and the exc...