Interest Rate Options: Basics
Interactive

Interest Rate Options: Basics

Intuition Publishing
Updated Sep 24, 2020

The underlying assets for exchange-traded interest rate options are interest rate futures contracts. We give an overview of call and put interest rate options, and then calculate the payoff to the long and short positions in each. We then discuss options on futures based on Treasuries, options on futures based on time deposits, and options on futures based on overnight rates.

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