You work for Star Helix Solutions — a multinational corporation headquartered in Switzerland, where the domestic currency is the CHF (Swiss franc) — and you are evaluating the current status of a foreign currency options hedge that you have in place for a future British pound cash flow.
The current spot exchange rate today for the GBP is CHF0.7037. Assume that the put premium currently charged by your broker/dealer for a single GBP62,500 put option with an exercise price of CHF0.7791 is CHF0.0866 today, but was CHF0.1087 at the time you originally purchased the put options to set up the hedge.
What is the intrinsic value of the put options now if they cover a total position size GBP312,500?
a. CHF0.00
b. CHF27,062.50
c. CHF700.00
d. CHF43,281.25
e. CHF10,125.00
f. CHF3,500.00 O g. CHF23,562.50
h. CHF216,406.25 O i. CHF4,712.50
j. CHF50,625.00