24 An analyst gathers the following information about a futures contract expiring in six months:

Calls Puts
N(d₁) = 0.45 N(-d₁) = 0.55
N(d₂) = 0.41 N(-d₂) = 0.58

The exercise price is `$100` and the futures contract is priced at `$101.25`. Using the Black model, the value of a European call on the futures contract is the present value of:

Calls	Puts
N(d₁) = 0.45	N(-d₁) = 0.55
N(d₂) = 0.41	N(-d₂) = 0.58

Exam-Like

the difference between ($100×0.45) and ($101.25×0.41).

the difference between ($101.25×0.41) and ($100×0.45).

the difference between ($101.25×0.45) and ($100×0.41).

Chartered Financial Analyst Level 2