Nutourne (Dec 18)

The loss is the number of contracts (98) x the change in the futures price (0.0011) x the contract size ($125,000) = 13,475. If the options are not exercised then the conversion will be at whatever the spot rate is on the date of the transaction. This will not be equal to the futures price which is why the answer calculates what the spot rate would have to be for using options to be better than using futures.