Question 01: An investor shorts 100 shares when the share price is $52 and closes out the
position six months later when the share price is $45. The shares pay a dividend of $3 per
share during the six months. How much does the investor gain?
Question 02: A one-year call option on a stock with a strike price of $30 costs $3; a one-
year put option on the stock with a strike price of $30 costs $4. Suppose that a trader buys
two call options and one put option. The breakeven stock price above (below) which the
trader makes a profit is?
Question 03: An investor takes a long position in two December gold futures contracts on
June
5. The contract size is 100 oz. The futures price is US$1,450. The initial margin requirement
is
(US$9,000 in total).
US$6,000/contract (US$12,000 in total). The maintenance margin is US$4,500/contract
Make a table of the account of the contract as following the settle price:
Date 3-Jul 8-Aug 9-Sep 5-Oct 3-Nov 2-Dec
Settle price1,441.00 1,448.30 1,436.20 1,419.90 1,440.80 1,436.90
($)
Question 04: Assuming REE's current share price is $ 60, the option to sell at $ 60 is $
2.0/share. The risk-free rate is 1% per option exercising period.
Investors want to combine covered call options to make a profit.
A. Use balance options to calculate the price call option.
B. Make a spreadsheet and identify the break-even point, maximum loss of strategy.
C. Draw illustrations and footnotes.
Note: A covered call is a kind of options strategy that offers limited return for limited risk.
A covered call involves selling a call option on a stock that you already own. By owning the
stock, you're "covered" (i.e. protected) if the stock rises and the call option expires in the
money.
Question 05: At the beginning of 2016, Company A and B agreed to exchange SWAP
currency pair USD-VND within 2 years. Company A will receive USD and pay VND
interest rate for B, while B will receive VND and pay USD for A. Interest is VND 14% and
USD 5%, pay every 6 months. The swap amount is USD 1 million, the exchange rate for the
beginning of 2016 is VND 21.500 / USD
Make the actual payment result sheet of A and B.
In fact, by the end of 2017, the exchange rate of USD / VND is 23.000 VND, which
company will benefit?
Question 06: An agreement by Microsoft to receive 6-month LIBOR & pay a fixed rate of
6% per annum every 6 months for 3 years on a notional principal of $10,000,000 with IBM
Co.
Illustrates cash flows that could occur (Day count conventions are not considered) by table
for payment between Microsoft and IBM Co?
Date 1/1/2016 1/7/2016 1/1/2017 1/7/2017 1/1/20 1/7/201
18 8
Rate 5.8% 6.2% 6.0% 6.5% 5.5% 7.0%
Question 07: On March 1 a commodity's spot price is $60 and its August futures price is
$59.
On July 1 the spot price is $64 and the August futures price is $63.50. A company entered
into futures contracts on March 1 to hedge its purchase of the commodity on July 1. It
closed out its position on July 1. What is the effective price (after taking account of
hedging) paid by the company?
Question 08: On March 1 the price of a commodity is $985 and the December futures price
is $1,013. On November 1 the price is $980 and the December futures price is $981. A
producer of the commodity entered into a December futures contracts on March 1 to hedge
the sale of the commodity on November 1. It closed out its position on November 1. What is
the effective price (after taking account of hedging) received by the company for the
commodity?
