Chapter 02 · Section 2.1

Long - IMM Calls 1

Suppose Victor entered a long position in 4 IMM March 45 DM calls in December. Now it is February, and the Deutsche Mark trades at $.45/DM.

Victor can offset (liquidate) his options position by selling:

c) 4 IMM February 45 DM calls.
No. Victor would be long 4 March calls and short 4 February calls, if he could sell IMM February DM calls. Note: IMM currency futures options trade only on a Mar/June/Sept/Dec cycle.
d) 4 IMM February 45 DM calls.