G. Futures Options Relationship with Interest Rates

• 1. Since the futures option represents a call (right to buy a futures contract at a specific price) or a put (right to sell a futures contract at a specific price) then:

  • Call: decreases in value when the interest rates increase because the underlying futures asset is decreasing in value.
  • Put: increases in value when the interest rates increase because the underlying futures asset has decreased in value.

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