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2011 SPX Index call option with an exercise price of 1,300 is out of the money, given that theindex level on this day in March 2011 was 1,293.77. This contract could be purchased at theask price for $4,100 (= 41.00 × 100) and would only be exercised to acquire $130,000 worth ofthe index if the S&P rises above 1,300 by the expiration date.Chapter 16 introduced us to exchange-traded funds (ETFs) as an effective way to make aninvestment in a stock index. Given the popularity of these products, it is not surprising thatthe derivatives market now offers options based on them as well. Panel B of Exhibit 22.3 listsa price and volume data for SPDR S&P 500 ETF (SPY) options, which are traded on theCBOE. Since the underlying ETF is a security (unlike the index itself), these options are designedlike regular stock options and permit physical delivery. For example, the June 2011SPY Index put option with an exercise price of 132 is in the money, since SPY traded at129.29. In exchange for an upfront payment of $636 (= 6.36 × 100), the owner of this put contractwould find it advantageous to sell $13,200 worth of the index ETF, assuming it remainedbelow 132 at the expiration date.Foreign Currency Options In our analysis of currency futures contracts in Chapter 21,we saw that those agreements are generally designed from the viewpoint of a U.S. dollar–basedinvestor who thinks of the foreign (i.e., non–U.S. dollar) currency as the underlying asset in thetransaction. Foreign currency options traded on U.S. exchanges are similar in that each contractallows for the sale or purchase of a set amount of foreign currency at a fixed exchange (FX)rate. A currency call option permits, but does not obligate, the contract holder to buy thecurrency at a later date, while a put allows the holder to sell the foreign currency if she sodesires. FX option contracts exist for several major currencies, including the euro, Australiandollars, Japanese yen, Canadian dollars, British pounds, and Swiss francs. Although the majorityof currency options trade in OTC markets, exchange-traded versions have also existedsince being launched by the PHLX in 1982. Exhibit 22.4 shows the prevailing USD/GBPspot rate as well as quotes for some of the British pound contracts that were available onMarch 22, 2011.Consider an investor in New York who holds British pound–denominated governmentbonds in her portfolio. It is March, and, when the bonds mature in three months, she willneed to convert the proceeds back into U.S. dollars. This exposes the investor to the risk thatthe British currency will weaken (i.e., will be exchangeable for fewer dollars) by June. To hedgethis risk, she buys the June put on the British pound with an exercise price of USD 163/GBP,which is expressed in U.S. cents per pound. Thus, her initial cost to acquire a put optionallowing her to sell 10,000 pounds is USD 286 (= 0.0286 × 10,000), using the ask price (secondentry under the “Puts—Jun11” block) and delivery amount associated with the contract. Thisoption would allow the investor to exchange the GBP 10,000 that will come from the maturingBritish bond in June for USD 16,300 (= 10,000 × 1.63). She will only exercise the contract ifthe spot USD/GBP rate prevailing in June weakens to a level less than 1.63, which was heroriginal concern. Finally, because the spot rate at the time the put is acquired in March isUSD 1.6367/GBP, this contract is out of the money and the entire purchase price representsa time premium.
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