91、A futures trader must deposit an additional amount of money into a margin account at the clearinghouse if the margin account ending balance is below the:

Select exactly 1 answer(s) from the following:

A. initial margin requirement.

B. variation margin requirement.

C. maintenance margin requirement.

D. amount of the loan borrowed from the clearinghouse.

92、A futures trader goes long one futures contract at $450. The settlement price 1 day before expiration is $500. On expiration day, the future is trading at $505. The least likely way the futures trader will lock in her profits on expiration is:

Select exactly 1 answer(s) from the following:

A. take delivery of the underlying asset and pay $500 to the short.

B. close out the futures position by selling the futures contract at $505.

C. take delivery of the underlying asset and pay the expiration settlement price to the short.

D. cash settle the futures and receive the difference between $500 and the expiration settlement price.

93、A description that will least likely be used to explain put-call parity is:

Select exactly 1 answer(s) from the following:

A. the prices of calls and puts on an underlying asset must be consistent with each other to remove arbitrage opportunities.

B. a fiduciary call option strategy and a protective put option strategy for an underlying asset are equal in value.

C. a put is equivalent to a long call, a long position in the underlying asset, and a long position in the risk-free asset.

D. a call is equivalent to a long put, a long position in the underlying asset, and a short position in the risk-free asset.

94、The effects on the price of a call option from an increase in volatility and an increase in interest rates are:

Select exactly 1 answer(s) from the following:

A. AnswerA.

B. AnswerB.

C. AnswerC.

D. AnswerD.

95、A market participant has a view regarding the potential movement of a stock. He sells a customized over-the-counter put option on the stock when the stock is trading at $38. The put has an exercise price of $36 and the put seller receives $2.25 in premium. The price of the stock is $35 at expiration. The profit or loss for the put seller at expiration is:

Select exactly 1 answer(s) from the following:

A. ($1.25).

B. $1.00.

C. $1.25.

D. $2.25.

答案和详解如下：

91 Correct answer is C

“Futures Markets and Contracts,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 55-57
Study Session 17-72-b
differentiate between margin in the securities markets and margin in the futures markets, and define initial margin, maintenance margin, variation margin, and settlement price
Holders of futures positions must maintain account balances above the maintenance margin requirement.

92 Correct answer is C

“Futures Markets and Contracts,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 60-62
Study Session 17-72-d
describe how a futures contract can be terminated by a close-out (i.e., offset) at expiration (or prior to expiration), delivery, an equivalent cash settlement, or an exchange-for-physicals
To lock in profits, take delivery and pay short the settlement price of the previous day, not the expiration day.

93 Correct answer is C

“Option Markets and Contracts,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 108-110
Study Session 17-73-j
explain put-call parity for European options, and relate put-call parity to arbitrage and the construction of synthetic options
The put requires a short position in the underlying rather than a long position.

94 Correct answer is B

“Option Markets and Contracts,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 115-116
Study Session 17-73-m
indicate the directional effect of an interest rate change or volatility change on an option’s price
When volatility increases, the price of options increase. When interest rates increase, call option prices increase.

95 Correct answer is C

“Risk Management Applications of Option Strategies,” Don M. Chance
2008 Modular Level I, Vol. 6, pp. 151-157
Study Session 17-75-a
determine the value at expiration, profit, maximum profit, maximum loss, breakeven underlying price at expiration, and general shape of the graph of the strategies of buying and selling calls and puts, and indicate the market outlook of investors using these strategies
Profit = max (0, -value of put at expiration + premium) = max (0, - (X - S) + premium) = -1 + 2.25 = $1.25

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