Question

Suppose a financial manager buys call options on 54,000 barrels of oil with an exercise price of $91 per barrel. She simultaneously sells a put option on 54,000 barrels of oil with the same exercise price of $91 per barrel. Consider her gains and losses if oil prices are $79, $76, $84, 991, and $96. What if oil futures prices are $99.28 per barrel at expiration? (Do not leave any empty spaces; input a 0 wherever it is required. Negative answers should be indicated by a minus sign.) $79 $76 $84 $91 $96 $99.28 Market price Payoffs per barrel $

Answer 1

1.
=54000*(MAX(79-91,0)-MAX(91-79,0))=-648000

2.
=54000*(MAX(76-91,0)-MAX(91-76,0))=-810000

3.
=54000*(MAX(84-91,0)-MAX(91-84,0))=-378000

4.
=54000*(MAX(91-91,0)-MAX(91-91,0))=0

5.
=54000*(MAX(96-91,0)-MAX(91-96,0))=270000

6.
=54000*(MAX(99.28-91,0)-MAX(91-99.28,0))=447120