Alecto Co - Dec 2011

Hi, re above question: 1. Under the premium calculation under the collar method at a stike price of 96 - why has the examiner decided to buy a put at 96 and sell a call at 96.5. I thought when calculating options - we must use the same strike price in which case: Premium payable on put: 0.163/400*(37*1000) = 15 Premium receivable on call: 0.391/400*(37*1000) = 36.17 Net premium receivable: 21.16 2. In calculating the unexpired basis under the option method (in the event of an increase of 0.5%) Theoretical futures price (100-3.3) = 96.70 Strike price 96.00 Unexpired basis: (0.7*2/6) = 0.233 Estimated future price in 4 months = (100-3.8-0.233) = 95.96 The examiner is still using the initial basis calculated under the futures method. Does the basis calculation I made make sense? 3. In the question we are given the tick size 0.01% and tick value $25. I did not use the tick method when calculating the gain/loss on futures contracts: I used (sell price-buy price)/400*(37*1000) Does this suffice? Sorry for bombarding you. Thanks