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标题: [ 2009 Mock Exam (PM) ] Derivative Investments .Questions 91-96 [打印本页]
作者: bingning    时间: 2009-6-30 17:09     标题: [ 2009 Mock Exam (PM) ] Derivative Investments .Questions 91-96


91. An investor takes a short position of 10 futures contracts at $90 on Day 0. The initial margin is $10 per contract. The maintenance margin is $5 per contract. On Day 1, the futures settlement price is $96 and on Day 2, the futures settlement price is $92. At the end of Day 2, the cash ending balance in the margin account is closest to:

A. $80.
B. $120.
C. $140.

92. The lower bound on a European call price is the greater of zero and:

A. the underlying price minus the exercise price.
B. the present value of the exercise price minus the underlying price.
C. the underlying price minus the present value of the exercise price.

93. A description least likely to explain put-call parity is:

A. A fiduciary call option strategy and a protective put option strategy for an underlying asset are equal in value.
B. A put is equivalent to a long call, a long position in the underlying asset, and a long position in the risk-free asset.
C. A call is equivalent to a long put, a long position in the underlying asset, and a short position in the risk-free asset.

作者: bingning    时间: 2009-6-30 17:09

 


91. An investor takes a short position of 10 futures contracts at $90 on Day 0. The initial margin is $10 per contract. The maintenance margin is $5 per contract. On Day 1, the futures settlement price is $96 and on Day 2, the futures settlement price is $92. At the end of Day 2, the cash ending balance in the margin account is closest to:

A. $80.
B. $120.
C. $140.

Answer: C
“Futures Markets and Contracts,” Don M. Chance
2009 Modular Level I, Volume 6, pp. 53-57
Study Session 17-69-c
Describe price limits and the process of marking to market, and compute and interpret the margin balance, given the previous day’s balance and the change in the futures price.
C is correct. The calculations are shown below.

  Day
 

  Beginning
Balance 

Funds
Deposited   

Settlement   

  rice
Change 

 Gain/Loss  

 Ending
Balance  

0

 1  

2 

   0

 100

40

100

0

60

  90  

96

92

 0

6

4

  0   

 -60

 40

 100

 40

140


92. The lower bound on a European call price is the greater of zero and:

A. the underlying price minus the exercise price.
B. the present value of the exercise price minus the underlying price.
C. the underlying price minus the present value of the exercise price.

Answer: C
“Option Markets and Contracts,” Don M. Chance
2009 Modular Level I, Volume 6, pp. 98-101
Study Session 17-70-h
Calculate and interpret the lowest prices of European and American calls and puts based on the rules for minimum values and lower bounds.
European options cannot be exercised until maturity, so the exercise price is adjusted to reflect that the exercise price can be paid and the underlying received only at expiration.

93. A description least likely to explain put-call parity is:

A. A fiduciary call option strategy and a protective put option strategy for an underlying asset are equal in value.
B. A put is equivalent to a long call, a long position in the underlying asset, and a long position in the risk-free asset.
C. A call is equivalent to a long put, a long position in the underlying asset, and a short position in the risk-free asset.

Answer: C
“Option Markets and Contracts”, Don M. Chance
2009 Modular Level I, Volume 6, pp. 106-110
Study Session 17-70-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.

作者: bingning    时间: 2009-6-30 17:14


94. An investor goes long an FRA that expires in 30 days for which the underlying is 90- day LIBOR for a notional of $10 million. A dealer quotes this instrument at 4.5 percent. At expiration, 60-day LIBOR is 3.5 percent and 90-day LIBOR is 4 percent.
The payment made at expiration is closest to:

A. $ 12,376 from the investor to the dealer
B. $ 12,376 from the dealer to the investor
C. $ 16,570 from the investor to the dealer

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:

A. $(1.25)
B. $1.25
C. $2.25

96. An investor purchases a stock at $60 and at the same time, sells a 3-month call on the stock. The short call has a strike price of $65 and a premium of $3.60. The risk-free rate is 4 percent. The breakeven underlying stock price at expiration is closest to:

A. $56.40
B. $60.80
C. $61.40

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作者: bingning    时间: 2009-6-30 17:14


94. An investor goes long an FRA that expires in 30 days for which the underlying is 90- day LIBOR for a notional of $10 million. A dealer quotes this instrument at 4.5 percent. At expiration, 60-day LIBOR is 3.5 percent and 90-day LIBOR is 4 percent.
The payment made at expiration is closest to:

A. $ 12,376 from the investor to the dealer
B. $ 12,376 from the dealer to the investor
C. $ 16,570 from the investor to the dealer

Answer: A
“Forward Markets and Contracts”, Don M. Chance
2009 Modular Level I, Volume 6, pp. 40-43
Study Session 17-68-g
Calculate and interpret the payoff of an FRA and explain each of the component terms.
The underlying of an FRA is an interest payment. The investor is long the rate and will benefit if rates increase. Since rates decreased, the investor must pay the dealer:


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:

A. $(1.25)
B. $1.25
C. $2.25

Answer: B
“Risk Management Applications of Option Strategies”, Don M. Chance
2009 Modular Level I, Volume 6, pp. 152-156
Study Session 17-72-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

96. An investor purchases a stock at $60 and at the same time, sells a 3-month call on the stock. The short call has a strike price of $65 and a premium of $3.60. The risk-free rate is 4 percent. The breakeven underlying stock price at expiration is closest to:

A. $56.40
B. $60.80
C. $61.40

Answer: A
“Risk Management Applications of Option Strategies”, Don M. Chance
2008 Modular Level I, Volume 6, pp. 156-160
Study Session 17-72-b
Determine the value at expiration, profit, maximum profit, maximum loss, breakeven underlying price at expiration, and general shape of the graph of a covered call strategy and a protective put strategy, and explain the risk management application of each strategy.
A covered call breakeven price equals the price paid for the stock less the premium received for the call. Breakeven = (S-c) = (60-3.60) = $56.40
作者: wenganyang    时间: 2009-9-22 04:16

sdaf
作者: viss    时间: 2010-11-8 22:06

thx
作者: zippo1986    时间: 2010-11-11 12:01

Thanks
作者: xxjj564    时间: 2011-2-9 09:23

 thx



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