Paulo writes a put option on Japanese yen with a strike pric
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Paulo writes a put option on Japanese yen with a strike price of $0.008000/¥ (¥125.00/$) at a premium of 0.0080 cents per yen and with an expiration date six month from now. The option is for ¥12,500,000. What is Paulo's profit or loss at maturity if the ending spot rates are ¥110/$, ¥115/$, ¥120/$, ¥125/$, ¥130/$, ¥135/$, and ¥140/$?
a) b) c) d) e) f) g)
Assumptions Values Values Values Values Values Values Values
Notional principal (¥) 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000 12,500,000
Maturity (days) 180 180 180 180 180 180 180
Strike price (US$/¥) $0.008000 $0.008000 $0.008000 $0.008000 $0.008000 $0.008000 $0.008000
Premium (US$/¥) $0.000080 $0.000080 $0.000080 $0.000080 $0.000080 $0.000080 $0.000080
Ending spot rate (¥/US$) 110.00 115.00 120.00 125.00 130.00 135.00 140.00
in US$/¥ $0.009091 $0.008696 $0.008333 $0.008000 $0.007692 $0.007407 $0.007143
Gross profit on option
Less premium
Net profit (US$/¥)
Net profit, total
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