Treasury Option Hedge Question

Treasury Option Hedge Question - (20 pts) Consider the data...

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(20 pts) Consider the data in the tables and charts that follow below (on the next page.) A. Examine the above historical T-bond prices. a) (2pts) If just before Christmas Santa gave you the ability to gaze into the future, what speculative futures position would you have taken? b) (2pts) Estimate your per contract $ gain from that position on 3/16/2009? Examine the Margin Requirements and Values table below and answer the questions. Initial Maintenance 30 YR BOND Margin Requirements Speculator $4,320 $3,200 Exchange Member $3,200 $3,200 30-YEAR U.S. TREASURY BOND OPTIONS Trade Date: 2/26/2009 Month Last Change Prior Settle High Low Volume Updated Jun 2009 125'060 a +0'070 124'310 125'150 125'035 488 9:43:40 PM CST 2/25/2009 Strike Price Type Last Change Prior Settle High Low Volume Updated 124 CALL 5'46 a +0'13 5'33 5'60 a 5'46 a - 8:25:38 PM CST 2/25/2009 124 PUT 4'27 b -0'08 4'35 4'27 b 4'18 b 15 7:53:08 PM CST
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This note was uploaded on 02/22/2012 for the course MANEC 453 taught by Professor Jerrynelson during the Winter '10 term at BYU.

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Treasury Option Hedge Question - (20 pts) Consider the data...

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