1. © K. Cuthbertson and D. Nitzsche Figures for Chapter 12 FUTURES OPTIONS (Financial Engineering : Derivatives and Risk Management)

2. © K. Cuthbertson and D. Nitzsche Figure 12.2 : Call on futures option (S&P500, K = 475) FTFT Profit (per unit of index) 3 C = 7 F T = 485 482 K = 475 0 Breakeven : F BE = K + C = 482

3. © K. Cuthbertson and D. Nitzsche Figure 12.3 : Put on futures option (S&P500, K = 475) FTFT 8 P = 5 470 462 K = 475 0 Profit (per unit of index) Breakeven : F BE = K - P = 470

4. © K. Cuthbertson and D. Nitzsche Figure 12.4 : Covered call using futures options FTFT C = 8 -9 0 Profit (per unit of index) -477 F T = 490 F 0 = 477 F BE = F 0 - C = 469 469 Long futures F T = 460 Covered call K = 475, C = 8, F 0 = 477