PalacioHill

janakisri Wrote:
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> cfahead , sure you're in the right thread? This is
> about GK and shares , but you're asking about
> credit risk? Answer is zero credit risk as the
> option is out-of-the-money

He is asking of the potential credit risk, not at the current moment. He mentioned in his question that it is six month European option.

Btw, why would you say that it is out of money now. It is a JPY put making the option in-the-money right now. The convention he quoted is JPY/CAD not CAD/JPY.

Please let me know.