Answer-first summary for fast verification
Answer: Payoff of a long put plus a short call
A short futures position has a payoff of \(F_0 - S_T\) at expiration (ignoring discounting). By put-call parity, a **long put plus a short call** with the same strike replicates this payoff: \[ \text{Long put payoff} - \text{Short call payoff} = \max(K-S_T,0)-\max(S_T-K,0)=K-S_T \] If \(K = F_0\), this matches the economics of a short futures position. The correct choice is **C**.
Author: Manit Arora
Ultimate access to all questions.
136.1 Which option combination most closely simulates the economics of a short position in a futures contract?
A
Payoff of a long call plus a short put
B
Profit of a long call plus a short put
C
Payoff of a long put plus a short call
D
Profit of a long put plus a short call
No comments yet.