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:

Maturity

30 days

60 days

90 days

180 days

270 days

Type
Call
Call
Call
Put
Put
Call
Call
Call
Put
Put
Call
Call
Call
Put
Put
Call
Call
Call
Put
Put
Call
Call
Call
Put
Put

bid

Strike

0.0064
0.0086
0.0230
0.0085
0.0063
0.0086
0.0116
0.0313
0.0118
0.0087
0.0101
0.0137
0.0370
0.0141
0.0104
0.0129
0.0175
0.0494
0.0200
0.0147
0.0156
0.0211
0.0586
0.0234
0.0173

1.5421
1.5310
1.4872
1.4479
1.4371
1.5621
1.5469
1.4866
1.4312
1.4178
1.5764
1.5580
1.4856
1.4197
1.4038
1.6025
1.5779
1.4823
1.3902
1.3682
1.6297
1.5988
1.4793
1.3710
1.3455

offer
0.0076
0.0100
0.0238
0.0098
0.0074
0.0102
0.0135
0.0325
0.0137
0.0113
0.0122
0.0160
0.0385
0.0164
0.0124
0.0152
0.0207
0.0515
0.0232
0.0176
0.0190
0.0250
0.0609
0.0273
0.0206

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USD

USD
0.03
0.02

0.05

0.01
0
0
0.01
0.02
0.05
1.3

1.4

1.5

1.6

0.03
1.3

DM

Day 180: Short USD Put KO


Long 0.1544 Put(1.6025)

USD
0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

1.4

1.5

1.6

1.5

1.6

DM

1.6

DM

Day 150: Rollback

USD
0.03

0.03
1.3

1.4

0.03
1.3

DM

Day 90: Rollback

1.4

1.5

Day 90: Rollback


Short 0.0538 Put(1.5580)
Short 0.0948 Put(1.4856)

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0.03

USD
0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

0.03
1.3

1.4

1.5

1.6

0.03
1.3

DM

Day 60: Rollback

USD
0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

1.4

1.5

1.5

1.6

DM

Day 60: Rollback


Short 0.0182 Put(1.5469)
Short 0.0612 Put(1.4866)
Short 0.0110 Put(1.4312)

USD
0.03

0.03
1.3

1.4

1.6

0.03
1.3

DM

Day 0: Rollback

1.4

1.5

1.6

DM

Day 0: ReinerRubinstein Short USD Put KO

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USD

USD

0.1

0.03

0.08

0.02

0.06

0.01

0.04

0.02

0.01

0.02

0.02
1.35

1.4

1.45

1.5

1.55

1.6

0.03
1.35

DEM

1.4

Day 90: Short USD Put KO

1.45

USD

USD
0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

1.45

1.5

1.6

DEM

1.6

DEM

(b)

0.03

1.4

1.55

Day 60: Rollback

(a)

0.03
1.35

1.5

1.55

1.6

0.03
1.35

DEM

Day 60: Rollback


Short 0.0284 Puts(1.5469)

1.4

1.45

1.5

1.55

Day 30: Rollback

(c)

(d)

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USD

USD

0.03

0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

0.03
1.35

1.4

1.45

1.5

1.55

1.6

0.03
1.35

DEM

1.4

Day 30: Rollback


Short 0.1629 Puts(1.5310)
Short 0.1501 Puts(1.4872)
(a)

USD
0.03

0.02

0.02

0.01

0.01

0.01

0.01

0.02

0.02

1.45

1.5

1.55

1.6

1.55

1.6

DEM

1.6

DEM

(b)

USD

1.4

1.5

Day 15: Rollback

0.03

0.03
1.35

1.45

0.03
1.35

DEM

Day 0: Rollback

1.4

1.45

1.5

1.55

Day 0: ReinerRubinstein Short USD Put KO

(c)

(d)

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