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标题: Derivatives【Reading 62】Sample [打印本页]
作者: optiix    时间: 2012-3-31 16:55     标题: [2012 L1] Derivatives【Session 17 - Reading 62】Sample

For a futures trade:
A)
a single price is determined by supply and demand.
B)
the buyer pays the bid price; the seller receives the ask price.
C)
the seller receives the bid price; the buyer pays the ask price.


There is no bid/ask spread in futures trades; the price for the trade is determined on the floor of the exchange and is the single price the long will pay the short for the asset at the termination of the contract.
作者: optiix    时间: 2012-3-31 16:55

Which of the following statements about futures and the clearinghouse is least accurate? The clearinghouse:
A)
has defaulted on one half of one percent of futures trades.
B)
requires the daily settlement of all margin accounts.
C)
guarantees that traders in the futures market will honor their obligations.


In the history of U.S. futures trading, the clearinghouse has never defaulted.
Other information on the clearinghouse:
The clearinghouse guarantees that traders in the futures market will honor their obligations. The clearinghouse does this by splitting each trade once it is made and acting as the opposite side of each position. The clearinghouse acts as the buyer to every seller and the seller to every buyer. By doing this, the clearinghouse allows either side of the trade to reverse positions later without having to contact the other side of the initial trade. This allows traders to enter the market knowing that they will be able to reverse their position any time that they want. Traders are also freed from having to worry about the other side of the trade defaulting, since the other side of their trade is now the clearinghouse.
To safeguard the clearinghouse, the exchange requires traders to post margin and settle their accounts on a daily basis.
作者: optiix    时间: 2012-3-31 16:56

Which of the following statements about futures markets is least accurate?
A)
Hedging is the prime social rationale for futures trading.
B)
Initial margin can only be posted in cash.
C)
Futures markets allow market participants to discover the market's expectation of future cash market prices.


Margin can be posted in cash, bank letters of credit, or T-bills.
作者: optiix    时间: 2012-3-31 16:57

Standardization features of futures contracts do not include the:
A)
delivery time.
B)
quality of the good that can be delivered.
C)
delivery price of the commodity.


The delivery, or spot price at contract expiration, of a commodity is a variable and cannot be included in a futures contract. Quality and delivery time are both part of the standardized terms of a futures contract.
作者: optiix    时间: 2012-3-31 16:57

All of the following are characteristics of futures contracts EXCEPT:
A)
they are liquid.
B)
the contract size is standardized.
C)
they trade in a dealer (over the counter) market.


Futures contracts trade on organized exchanges; forward contracts are created by dealers.
作者: optiix    时间: 2012-3-31 16:58

Which of the following statements regarding futures contracts is least accurate?
A)
The exchange sets the times of trading for futures contracts.
B)
Price fluctuations can be any amount.
C)
The long will have gains when the futures price rises above the initial contract price.


The minimum price fluctuation, called a ‘tick’, is set by the exchange. The other statements are true
作者: optiix    时间: 2012-3-31 16:58

The clearinghouse, in U.S. futures markets, does NOT:
A)
choose which assets will have futures contracts.
B)
guarantee performance of futures contract obligations.
C)
act as a counterparty in futures contracts.


The exchange decides which contracts will be traded and their specifications. The clearinghouse acts as the counterparty to every contract and guarantees performance.
作者: optiix    时间: 2012-3-31 16:58

Which of the following statements about futures is least accurate?
A)
Futures contracts have a maximum daily allowable price limit.
B)
The futures exchange specifies the minimum price fluctuation of a futures contract.
C)
The exchange-mandated uniformity of futures contracts reduces their liquidity.


The exchange-mandated uniformity of futures contracts increases their liquidity.
作者: optiix    时间: 2012-3-31 16:59

Which type of futures contract does NOT allow for the underlying goods to be delivered?
A)
Index.
B)
Interest rate.
C)
Agricultural.


The nature of an index future realistically prohibits settlement in the underlying commodity. For example, the Standard and Poor’s 500 stock index would require settlement in 500 different common stocks, in the exact proportion of the total value as exists in the index at expiration of the future. Agriculture and interest rate futures both involve deliverable commodities.
作者: jawz    时间: 2012-3-31 17:00

A futures contract is least likely:
A)
an equity security.
B)
a forward contract.
C)
exchange-traded.


A futures contract may be based on an equity price or return, but would be, in that case, an equity derivative. A futures contract is a forward contract that is standardized and exchange traded.
作者: jawz    时间: 2012-3-31 17:01

A futures contract is least likely to be:
A)
regulated.
B)
standardized.
C)
illiquid.


Futures contracts are standardized and subject to governmental and exchange regulation. They are actively traded in the secondary market.
作者: jawz    时间: 2012-3-31 17:01

Which of the following is least likely a characteristic of futures contracts? Futures contracts:
A)
are traded in an active secondary market.
B)
are backed by the clearinghouse.
C)
require weekly settlement of gains and losses.


Futures contracts require daily settlement of gains and losses. The other statements are accurate.
作者: jawz    时间: 2012-3-31 17:01

If a farmer expects to sell his wheat in anticipation of a harvest and wants to hedge his risk, he needs to:
A)
sell wheat futures contracts now.
B)
sell wheat now.
C)
buy wheat futures contracts now.

A futures contract is a forward contract that has been highly standardized and closely specified.
As with a forward contract, a futures contract calls for the exchange of some good at a future date for cash, with the payment for the good to occur at the future delivery date.
The purchaser of the contract is to receive delivery of the good and pay for it while the seller (here the wheat farmer) of the contract promises to deliver the good and receive payment.
The payment price is determined at the initial time of the contract.

作者: jawz    时间: 2012-3-31 17:02

Which of the following statements regarding both futures contracts and forward contracts is least accurate?
A)
They are priced to have zero value at the initiation of the contract.
B)
They carry counterparty risk.
C)
For deliverable contracts, the short must deliver the underlying asset at a future date.


The clearinghouse of the futures exchange is the counterparty to all futures contracts so that, unlike forward contracts, counterparty risk is not a concern with futures contracts.
作者: jawz    时间: 2012-3-31 17:02

Which of the following statements regarding forwards and futures is NOT correct?
A)
Unlike forwards, futures are always deliverable contracts.
B)
Unlike futures, forwards carry counterparty risk.
C)
Like futures, forwards are priced to have zero value at contract initiation.


There are both deliverable and cash settlement futures contracts, just as with forwards.
作者: jawz    时间: 2012-3-31 17:02

Which of the following statements regarding futures and forward contracts is least accurate?
A)
Futures contracts are highly standardized.
B)
Both forward contracts and futures contracts trade on organized exchanges.
C)
Forwards require no cash transactions until the delivery date, while futures require a margin deposit when the position is opened.


Forward contracts are custom-tailored contracts and are not exchange traded while futures contracts are standardized and are traded on an organized exchange.
作者: jawz    时间: 2012-3-31 17:03

Futures have greater market liquidity than forward contracts, because futures are:
A)
developed with specific characteristics to meet the needs of the buyer.
B)
standardized contracts.
C)
sold only for widely traded commodities, unlike forwards.


Forward contracts do not have standardized terms as futures have. Forwards have the same terms as futures, but those terms are written to meet the specific needs of the two or more parties to the contract. This specialization limits the marketability, hence liquidity, of the forward contact.
作者: jawz    时间: 2012-3-31 17:03

Standardized futures contracts are an aid to increased market liquidity because:
A)
uniformity of the contract terms broadens the market for the futures by appealing to a greater number of traders.
B)
standardization of the futures contract stabilizes the market price of the underlying commodity.
C)
standardization results in less trading activity.


Although a forward may have value to someone other than the original counterparties, the non-standardized terms limit the level of interest, hence its marketability and liquidity. The standardized terms of a future give it far more flexibility to traders, giving rise to a strong secondary market and greater liquidity.
作者: jawz    时间: 2012-3-31 17:04

Which of the following statements about futures and forwards is NOT correct?
A)
Futures contracts are highly structured; forward contracts are unique to each transaction.
B)
The buyer of a forward posts a margin directly with the seller.
C)
An individual could sell an asset in the future using either a future or a forward contract.


Although forward contracts are between private parties, no margin is required. The other statements are true. Futures and forwards are both contracts to sell an asset in the future.
作者: jawz    时间: 2012-3-31 17:04

Which of the following is a difference between futures and forward contracts? Futures contracts are:
A)
standardized.
B)
over-the-counter instruments.
C)
larger than forward contracts.


As opposed to forward contracts, futures contracts are traded over an organized exchange and are standardized in size, maturity, quality of deliverable, etc.
作者: jawz    时间: 2012-3-31 17:04

Which of the following statements about forward contracts and futures contracts is NOT correct? Forwards:
A)
have no default risk, unlike futures.
B)
are private contracts, unlike futures.
C)
are unique contracts, unlike futures.


Forwards have default risk because the seller may not deliver and the buyer may not accept delivery.
作者: jawz    时间: 2012-3-31 17:05

Which of the following is NOT a feature that distinguishes futures contracts from forward contracts? Futures contracts:
A)
are regulated by the government.
B)
cover a specific quantity of the underlying asset.
C)
are not customized securities.


Both futures contracts and forward contracts cover a specific quantity of the underlying asset. The other characteristics only apply to futures contracts.
作者: jawz    时间: 2012-3-31 17:05

Which of the following statements about forward and future contracts is least accurate?
A)
The primary difference between forwards and futures is that only futures are considered financial derivatives.
B)
A predetermined price to be paid for a good is a necessary requirement in the terms of a forward contract.
C)
A future requires the contract purchaser to receive delivery of the good at a specified time.


Forwards and futures are similar and serve similar needs. Both are considered types of financial derivatives in that payoffs depend on another financial instrument or asset. The primary difference is that forwards are designed for the needs of the particular parties entering the contract, where futures are standardized contracts.
作者: jawz    时间: 2012-3-31 17:05

If an oil wholesaler expects to buy some gasoline for his customers in the future and wants to hedge his risk using a standardized and specific contract, he should:
A)
buy a crude oil futures contract.
B)
buy a crude oil forward contract.
C)
sell a crude oil futures contract.

A futures contract is a forward contract that has been highly standardized and closely specified.
As with a forward contract, a futures contract calls for the exchange of some good at a future date for cash, with the payment for the good to occur at the future delivery date.
The purchaser of the contract is to receive delivery of the good and pay for it, (here the oil wholesaler) while the seller of the contract promises to deliver the good and receive payment.
The payment price is determined at the initial time of the contract.

作者: jawz    时间: 2012-3-31 17:06

The clearinghouse in a futures contract performs all but which of the following roles? The clearinghouse:
A)
guarantees the physical delivery of the underlying asset to the buyer of futures contracts.
B)
allows traders to reverse their position without having to contact the other side of the position.
C)
guarantees traders against default from another party.


The clearinghouse does not guarantee the physical delivery of the underlying asset. Indeed, most futures contracts do not have a physical delivery, but are reversed.
作者: jawz    时间: 2012-3-31 17:06

Initial margin deposits for futures accounts are:
A)
set by the Federal Reserve for U.S. markets.
B)
based on price volatility.
C)
typically 50% of the purchase price.


Margin deposits for futures trades are based on the price volatility of the underlying asset, are set by the clearinghouse, and are typically a small percentage of the contract value.
作者: jawz    时间: 2012-3-31 17:06

A similarity of margin accounts for both equities and futures is that for both:
A)
interest is charged on the margin loan balance.
B)
the value of the security is the collateral for the loan.
C)
additional payment is required if margin falls below the maintenance margin.


Both futures accounts and equity margin accounts have minimum margin requirements that, if violated, require the deposit of additional funds. There is no loan in a futures account; the margin deposit is a performance guarantee. The seller does not receive the margin deposit in futures trades. The seller must also deposit margin in order to open a position.
作者: jawz    时间: 2012-3-31 17:07

Which of the following statements regarding margin in futures accounts is NOT correct?
A)
With futures margin, there is no loan of funds.
B)
Margin is usually 10% of the contract value for futures contracts.
C)
Margin must be deposited before a trade can be made.


The margin percentage is typically low as a percentage of the value of the underlying asset and varies among contracts on different assets based on their price volatility. The other statements are true.
作者: jawz    时间: 2012-3-31 17:07

The initiation of a futures position:
A)
is done through a bank or other large financial institution acting as a dealer.
B)
is at a price negotiated between the buyer and seller.
C)
requires both a buyer and a seller.


Futures trades are done through open outcry on the futures exchange and require a buyer (long) and a seller (short) for a trade to take place. The other statements are generally true for forward contracts, which are all individually negotiated.
作者: jawz    时间: 2012-3-31 17:08

Which of the following statements regarding a futures trade of a deliverable contract is NOT correct?
A)
The long is obligated to purchase the asset.
B)
Equilibrium futures price is known only at the end of the trading day.
C)
The price is determined by open outcry.


Each trade is made at the then current equilibrium price, determined by open outcry on the floor of the exchange, and is reported as it is executed. The long is obligated to buy, and the short is obligated to sell, the specified quantity of the underlying asset.
作者: jawz    时间: 2012-3-31 17:09

The settlement price for a futures contract is:
A)
an average of the trade prices during the ‘closing period’.
B)
the price of the last trade of a futures contract at the end of the trading day.
C)
the price of the asset in the future for all trades made in the same day.


The margin adjustments are made based on the settlement price, which is calculated as the average trade price over a specific closing period at the end of the trading day. The length of the closing period is set by the exchange.
作者: jawz    时间: 2012-3-31 17:09

If the margin balance in a futures account with a long position goes below the maintenance margin amount:
A)
a margin deposit equal to the maintenance margin is required within two business days.
B)
a deposit is required to return the account margin to the initial margin level.
C)
a deposit is required which will bring the account to the maintenance margin level.


Once account margin (based on the daily settlement price) falls below the maintenance margin level, it must be returned to the initial margin level, regardless of subsequent price changes.
作者: jawz    时间: 2012-3-31 17:10

If the balance in a trader’s account falls below the maintenance margin level, the trader will have to deposit additional funds into the account. The additional funds required is called the:
A)
margin call.
B)
initial margin.
C)
variation margin.


If the margin balance falls below a specified level (the maintenance margin), additional capital (the variation margin) must be deposited in the account. Initial margin is the capital that must be in the trader’s account before the initiation of the margin trade.
作者: jawz    时间: 2012-3-31 17:10

It is April 15, and a trader is entered into a short position in two soybean meal futures contracts. The contracts expire on August 15, and call for the delivery of 100 tons of soybean meal each. Further, because this is a futures position, it requires the posting of a $3,000 initial margin and a $1,500 maintenance margin per contract. For simplicity, however, assume that the account is marked to market on a monthly basis. Assume the following represent the contract delivery prices (in dollars per ton) that prevail on each settlement date:
April 15 (initiation)173.00
May 15179.75
June 15189.00
July 15182.50
August 15 (delivery)174.25
What is the equity value of the margin account on the May 15 settlement date, including any additional equity that is required to meet a margin call?
A)
$1,350.
B)
$2,300.
C)
$4,650.


Use the following steps to calculate the margin account balance as of May 15.
At initiation: (Beginning Balance, April 15)

Initial margin × number of contracts = 3,000 × 2 = 6,000
Maintenance margin × number of contracts = 1,500 × 2 = 3,000

As of May 15: (Ending contract price per ton − beginning contract price per ton ) × tons per contract × # contracts = (179.75 − 173.00) × 100 × 2 = 1,350
Since the trader is short, this amount is subtracted from the beginning margin balance, or 6,000 − 1,350 = 4,650.

Based on the May 15 settlement date, which of the following is most accurate?
A)
Since the equity value of the margin account is above the initial margin, the trader can withdraw $1,350.
B)
Since the equity value of the margin account is below the maintenance margin, a variation margin is called to restore the equity value of the account to it's initial level.
C)
No margin call or disbursement occurs.


As of May 15, the margin balance is $4,650 (see solution to previous question). Since this is below the initial margin of $6,000 (both contracts), but still above the maintenance margin of $3,000, (for both contracts) no action is required.
There are three types of margin. The first deposit is called the initial margin. Initial margin must be posted before any trading takes place. Initial margin is fairly low and equals about one day’s maximum price fluctuation. The margin requirement is low because at the end of every day there is a daily settlement process called marking-the-account-to-market. In marking-to-market, any losses for the day are removed from the trader’s account and any gains are added to the trader’s account. If the margin balance in the trader’s account falls below a certain level (called the maintenance margin), the trader will get a margin call and have to deposit more money (called the variation margin) into the account to bring the account back up to the initial margin level.
作者: jawz    时间: 2012-3-31 17:11

When a futures trader receives a margin call what must he or she do to bring the position up to the initial margin? The futures trader must:
A)
deposit variation margin.
B)
sell stock to cover the margin call.
C)
deposit maintenance margin.


When a futures trader receives a margin call, he/she must deposit variation margin to bring the account up to the initial margin value.
作者: jawz    时间: 2012-3-31 17:11

The money added to a margin account to bring the account back up to the required level is known as the:
A)
variation margin.
B)
daily settlement.
C)
maintenance margin.


The money added to a margin account to bring the account back up to the required level is known as the variation margin. The minimum allowed in the account is called the maintenance margin. The daily settlement process requires marking-to-market each day.
作者: jawz    时间: 2012-3-31 17:11

In the trading of futures contracts, the role of the clearinghouse is to:
A)
guarantee that all obligations by traders, as set forth in the contract, will be honored.
B)
stabilize the market price fluctuations of the underlying commodity.
C)
maintain private insurance that can be used to provide funds if a trader defaults.


The clearinghouse does not originate trades, it acts as the opposite party to all trades. In other words, it is the buyer to every seller and the seller to every buyer. This action guarantees that all obligations under the terms of the contract will be fulfilled.
作者: jawz    时间: 2012-3-31 17:12

Which of the following statements about futures margin is least accurate?
A)
Initial margin must be posted to a futures account within three days after the first trade.
B)
The initial margin on a contract approximately equals the maximum daily price fluctuation of the contract.
C)
If the margin account balance falls below the maintenance margin level, the trader must bring the account back up to the initial margin level.


Initial margin must be posted before trading.
作者: jawz    时间: 2012-3-31 17:12

Which of the following statements about futures contracts is least accurate?
A)
Offsetting trades rather than exchanges for physicals are used to close most futures contracts.
B)
The futures clearinghouse allows traders to reverse their positions without having to contact the other side of the initial trade.
C)
To safeguard the clearinghouse, the exchange requires traders to post margin and settle their accounts on a weekly basis.


Each exchange has a clearinghouse. The clearinghouse guarantees that traders in the futures market will honor their obligations. The clearinghouse does this by splitting each trade once it is made and acting as the opposite side of each position. To safeguard the clearinghouse, the exchange requires traders to post margin and settle their accounts on a daily basis. Before trading, the trader must deposit funds (called margin) with their broker (who, in return, will post margin with the clearinghouse). The purpose of margin is to ensure that traders will perform their contractual obligations. Margin can be posted in cash, bank letters of credit, or in T-Bills.
The clearinghouse acts as the buyer to every seller and the seller to every buyer. By doing this, the clearinghouse allows either side of the trade to reverse positions later without having to contact the other side of the initial trade. This allows traders to enter the market knowing that they will be able to reverse their position any time that they want. Traders are also freed from having to worry about the other side of the trade defaulting, since the other side of their trade is now the clearinghouse. In the history of U.S. futures trading, the clearinghouse has never defaulted.
Explanations for other choices:
A reverse, or offsetting, trade in the futures market is how most futures positions are settled.  Since the other side of your position is held by the clearinghouse, if you make an exact opposite trade (maturity, quantity, and good) to your current position, the clearinghouse will net your positions out, leaving you with a zero balance.
Listed below is additional information contrasting futures and forwards:
作者: burning0spear    时间: 2012-3-31 17:14

In commodity trading, the exchange removes any daily losses from a trader’s account and adds any gains to the trader’s account. This process is known as:
A)
initial margin.
B)
variation margin.
C)
marking to market.


To safeguard the clearinghouse, commodity exchanges require traders to settle their accounts on a daily basis. Marking to market is when any loss for the day is deducted from the trader’s account, and any gains are added to the account.
作者: burning0spear    时间: 2012-3-31 17:14

Which of the following statements best describes marking-to-market of a futures contract? At the:
A)
conclusion of each trade, the gains or losses from all previous trades in the futures contract are tallied.
B)
end of the day, the gains or losses are tallied to the trader's account.
C)
end of the day, the maintenance margin is increased for traders who lost and decreased for traders who gained.


Marking-to-market means that, at the end of the day, all gains or losses are tallied to the trader’s account.
作者: burning0spear    时间: 2012-3-31 17:14

A futures account is marked to market:
A)
only when margin falls below the maintenance margin level.
B)
weekly.
C)
daily.


Margin balances are marked to market (adjusted) daily based on the change in settlement price from the previous day.
作者: burning0spear    时间: 2012-3-31 17:15

The practice of adjusting the margin balance in a futures account for the daily change in the futures price is called:
A)
settling up.
B)
marking to market.
C)
a margin call.


Marking to market is the practice of adding to or subtracting from the margin balance to adjust for the daily change in the contract value.
作者: burning0spear    时间: 2012-3-31 17:15

Which of the following statements regarding the mark to market of a futures account is least accurate? Marking to market of a futures account:
A)
is only done when the settlement price is below the maintenance price.
B)
may result in a margin balance above the initial margin amount.
C)
may be done more often than daily.


Futures accounts are marked to market daily based on the new settlement price, which can result in either an addition to or subtraction from the previous margin balance. Under extraordinary circumstances (volatility) the mark to market can be required more frequently. Once the margin is marked to market, the contract is effectively a futures contract at the new settlement price.
作者: burning0spear    时间: 2012-3-31 17:16

An investor bought a futures contract covering 100,000 Mexican Pesos at 0.08196 and deposited margin of $320. The following day the contract settlement price was 0.08201. The new margin balance in the account is:
A)
$320.
B)
$314.
C)
$325.


320 + 100,000(0.08201 − 0.08196) = $325
作者: burning0spear    时间: 2012-3-31 17:16

An investor sold ten March stock index futures contracts. The multiplier on the contract is 250. At yesterday’s settlement price of 998.40 the margin balance in the account was computed as $86,450. Today the index future had a settlement price of 1000.20. The new margin amount is:
A)
$81,950.
B)
$90,950.
C)
$86,900.


86,450 − 10 × 250 × (1000.2 − 998.4) = $81,950
作者: burning0spear    时间: 2012-3-31 17:16

A trader is long four July gold futures contracts, each with a contract size of 300 oz. If the price of July gold increases from $380.20 to $381.00 per ounce the change in the margin balance will be:
A)
$240.
B)
$960.
C)
-$960.


4 × 300 × (381 – 380.20) = $960
作者: burning0spear    时间: 2012-3-31 17:17

A trader has a long position in a wheat contract.
What is the price at which the trader will receive a maintenance margin call?
A)
$2.25.
B)
$1.90.
C)
$1.75.


The trader would have to lose $1,250, or 5,000 − 3,750 before they get a margin call. 5,000(2.00 − P) = 1,250. P = $1.75.
作者: burning0spear    时间: 2012-3-31 17:17

Most deliverable futures contracts are settled by:
A)
delivery of the asset at contract expiration.
B)
an offsetting trade.
C)
a cash payment at expiration.


Most futures positions are closed out by an offsetting trade at some point during life of the contract.
作者: burning0spear    时间: 2012-3-31 17:18

An offsetting trade is used to:
A)
close out a futures position prior to expiration.
B)
fully hedge a risk arising in the normal course of business activity.
C)
partially hedge the interest rate risk of a bond position.


An offsetting/reversing trade is used to close out a futures position prior to expiration.
作者: burning0spear    时间: 2012-3-31 17:18

Closing out a futures position prior to expiration:
A)
can be done by entering into an offsetting trade at the current futures price.
B)
can only be done by the long.
C)
removes price risk but not necessarily counterparty risk.


Taking the opposite position in an equal number of contracts on the same asset with the same expiration date ends any further exposure under the original contract.
作者: burning0spear    时间: 2012-3-31 17:19

Prior to contract expiration the short in a futures contract can avoid futures exposure by:
A)
using an exchange-for-physicals.
B)
paying a cash settlement amount.
C)
entering into a reversing trade.


Prior to expiration, a futures position (long or short) is closed out by an offsetting/reversing trade. The other methods are used to settle positions at contract expiration.
作者: burning0spear    时间: 2012-3-31 17:19

Which of the following statements about closing a futures contract through offset is most accurate?
A)
A low percentage of offsets take place ex-pit.
B)
The clearinghouse nets the position to zero.
C)
In an offset, or reversing trade, a trader makes an exact opposite trade (maturity, quantity, and good) to her current position, either through the clearinghouse or a private party.


An offset trade must be conducted on the floor of the exchange through the clearinghouse. Exchange for physicals (EFP) involves private parties and takes place ex pit, or off the exchange floor.
作者: burning0spear    时间: 2012-3-31 17:20

Which method is NOT an appropriate way to close out a futures contract?
A)
Reverse trade.
B)
Delivery.
C)
Default.


Default is failure to perform as required under the contract.
作者: burning0spear    时间: 2012-3-31 17:20

All of the following are methods to close out a futures position EXCEPT:
A)
delivery of the underlying commodity.
B)
allowing the contract to expire without taking action.
C)
through an exchange for physicals with another trader.


A futures contract cannot expire without any action being taken. If the contract has not been closed out through an offsetting trade, then one party must deliver the underlying commodity and the other party must purchase the commodity.
作者: burning0spear    时间: 2012-3-31 17:20

Which of the following statements about closing a futures position is least accurate?
A)
Few futures positions are settled by delivery of cash or assets.
B)
Closing a position through delivery refers exclusively to the physical delivery of goods.
C)
Except for exchange for physicals (EFP) transactions, futures contracts must be closed on the exchange floor.


Delivery can also occur through cash settlement of gains and losses. The other statements are true. Approximately one percent of futures transactions are closed through actual delivery or cash settlement.
作者: burning0spear    时间: 2012-3-31 17:21

Which of the following statements about closing a futures position through delivery is most accurate?
A)
Depending on the wording of the contract, a trader may close a contract by either delivering the goods to a designated location or by making a cash settlement of any gains or losses.
B)
Although the popularity of physical delivery has decreased over time, delivery by cash settlement remains the most popular method of closing a futures position.
C)
Delivery is also known as exchange for physicals (EFP).

The other statements are false.
Physical deliveries and cash settlements combined represent less than one percent of all settlements.
An exchange for physicals differs from a delivery in that:
作者: burning0spear    时间: 2012-3-31 17:21

An exchange-for-physicals, as it pertains to futures contracts:
A)
is another term for delivering an asset to satisfy a futures contract.
B)
is another term for accepting delivery of an asset to satisfy a futures contract.
C)
involves an agreement off the floor of the exchange.


An exchange-for-physicals involves an agreement between long and short contract holders to settle their respective obligations by delivery and purchase of an asset. It is executed off the floor of the exchange and reported to exchange officials who then cancel both positions.
作者: burning0spear    时间: 2012-3-31 17:21

Which of the following statements regarding Treasury bond futures is least accurate?
A)
Upon delivery, the long pays the short the futures price divided by the conversion factor for the bond the short chooses to deliver.
B)
They are a deliverable contract.
C)
The contract size is $100,000.


The delivery price for Treasury bonds under the contract is multiplied by the conversion factor for the bond the short chooses to deliver. The other statements are true.
作者: burning0spear    时间: 2012-3-31 17:22

At the Chicago Board of Trade, futures on foreign currencies have a contract size fixed in:
A)
foreign currency units and are priced in dollars per foreign currency unit.
B)
dollars and are priced in dollars per foreign currency unit.
C)
dollars and are priced in foreign currency units per dollar.


In the U.S., futures contracts for foreign currencies have a contract size fixed in foreign currency units (e.g. 125,000 Euros) and are priced in dollars per foreign currency unit (e.g. $0.08341 per Peso).
作者: burning0spear    时间: 2012-3-31 17:23

Which of the following statements about futures contracts on U.S. exchanges is least likely accurate?
A)
Prices of currency futures contracts are quoted as U.S. dollars per unit of the foreign currency.
B)
A $100,000 Treasury bond futures contract that settles at 102-16 represents Treasury bonds worth $102,500.
C)
If annualized 90-day LIBOR decreases from 3.64% to 3.58%, a long position in a $1 million Eurodollar futures contract loses $150.


The long position in a Eurodollar contract gains value when LIBOR decreases. Price quotes on Eurodollar futures are calculated as 100 minus annualized 90-day LIBOR in percent. A change in 90-day LIBOR of 0.01% represents a $25 change in value on a $1 million Eurodollar futures contract. If LIBOR decreases from 3.64% to 3.58%, the contract price increases six ticks from 96.36 to 96.42, so the long position gains 6 × $25 = $150.
Treasury bond futures that have a face value of $100,000 are quoted as a percent of face value with fractions measured in 1/32nds. A bond futures quote of 102-16 represents 102 16/32, or 102.5% of $100,000, which is $102,500.
Currency futures contracts are set in units of the foreign currency and stated as USD/unit.
作者: burning0spear    时间: 2012-3-31 17:24

Which is the only type of commodity where trading in forward contracts is larger than trading with future contracts?
A)
Foreign currency.
B)
Agricultural.
C)
Interest rate.


Trading in foreign currency forwards is far larger than the trading in futures. For example, with international trade, businesses can hedge against adverse currency fluctuations. But each business arrangement is unique, and most require the flexibility of a forward, whose terms are not standardized, that meets their special needs.



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