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.
• b) The call writer receives dollars.
  No. This would be the case if Victor were long a spot option like the PHLX currency options. Spot options are based directly on the currency. Futures currency options are only indirectly based on the currency.
  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

(Click here for help)