This case is an OTC foreign exchange option transaction, and the analysis is as follows:

1. The bank is the option buyer and the customer is the option seller.

2. Put option, specifically, put option of USD against JPY.

3. It can be analyzed from the narrative that the exercise price of the put option is USD/JPY 1:92. The dividing line of whether the buyer's bank exercises its rights is the execution price of USD/JPY 1:92. In short, USD/JPY >; 1:92, abstained. USD/JPY < 1:92, exercise. When USD/JPY is 1:85, the former is satisfied, so the bank abstained.

4. When USD/JPY is 1:85, if the bank exercises the right at this time, the loss will be 1500 (paid royalties)+100000 * (1/85-1/92).

5. For analysis, see Article 3.

6. When USD/JPY is 65,438+0: 65,438+000, when the bank exercises its rights, the bank's gains and customers' losses are 65,438+000,000 * (65,438+0/92-65,438+0/65,438).

Note: The above calculation process only calculates the profit and loss of option trading, so deposit interest is not considered. If you add the calculation of deposit interest, you can make a slight change.