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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发表于 2008-11-9 15:12
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