Chapter 02 · Section 2.1

IMM Futures

Suppose an IMM DM futures call option is exercised.

What is the effect of exercise?

• a) The call holder receives dollars.
  No. The call holder receives futures contracts on Deutsche Marks. The option is based on the IMM DM futures contract, DM 125,000 each.
  b) The call writer receives dollars.
  c) The call holder receives a short futures contract.
  d) The call writer receives a short futures contract.
  e) The call holder receives a long futures contract.
  f) d and e

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