Chapter 02 · Section 2.1
Long - IMM Calls 2
Now let us study a slightly different scenario:
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 $.44/DM.
As you can see, there is a difference of 1 cent between the exercise price and the $/DM rate. Victor can offset (liquidate) this position by selling:
a) IMM March 44 DM calls.
b) IMM March 45 DM calls.
A March 45 DM call remains a March 45 DM call even if the dollar/DM rate changes.