Derivatives Foundation case studies, worked step by step

Cases
100
Traced to a firm
12
Topics
12
Hard
29
Topic
All topicsMargin, clearing and risk limits8Market making and trading scenarios8Option pricing and arbitrage checks8Option strategies and trade ideas10Hedging with futures8Forwards, futures and arbitrage8Volatility trading8Interest rate derivatives9Structured products and client solutions7Currency derivatives and corporate FX hedging9Credit derivatives and counterparty risk7Greeks and managing an options book10
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 100
  1. 001A client buys 10 lots of index futures at 22,000 and the daily settlement price moves for five days. Walk through each day's variation margin and the running total.Margin, clearing and risk limitsWarm upClearing and riskIndian broking
  2. 002A market maker faces order flow of which 20% comes from traders who know the price will move Rs 4 in their favour. What half-spread breaks even, and what happens when the informed share doubles?Market making and trading scenariosCoreMarket makingQuant trading
  3. 003A vendor option chain on a stock at 1,000 shows the 950 call at 45, the 1,000 call at 30 against the 1,000 put at 22, and the 1,050 call at 32. Find every error and the arbitrage each allows.Option pricing and arbitrage checksCoreModel validationRisk management
  4. 004Pitch a stock on a margin recovery thesis and express it with a call spread sized so the worst case is 0.5% of a Rs 100 crore book. Show the payoff at three prices.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025BarclaysNew York · 2026ScotiabankToronto · 2025
  5. 005A Rs 500 crore equity fund with a beta of 1.15 wants its beta at 0.6 through a results month using index futures at 22,000 with a 50 unit contract. How many contracts, which side, and what is the fund still exposed to?Hedging with futuresCoreAsset managementEquity derivatives
  6. 006A jeweller needs 100 kg of gold in six months. Spot is Rs 72,000 per 10 g, the six-month future Rs 74,500, storage 0.4% a year and the rate 7%. Buy now and store, or buy the future, and what is the market saying?Forwards, futures and arbitrageCoreCommodities tradingCorporate treasury
  7. 007A beverage maker expects to buy 10,000 tonnes of sugar but could need 7,000 to 12,000 depending on the weather. Compare hedging 10,000 tonnes against 8,000 in a hot summer and a cool one.Hedging with futuresHardCorporate treasuryCommodities trading
  8. 008A client wants a price for the three-month 21,500 index put but only the 21,500 call is quoted, at 1,050. The index is 22,000, the rate 6.8% and the dividend yield 1.2%. Price the put.Option pricing and arbitrage checksWarm upWealth managementEquity derivatives
  9. 009A fund is short one-month and one-year index straddles, each with vega of Rs 1 crore per point. A 5% one-day fall lifts one-month volatility 12 points and one-year 4. Which loses more, and what else hits the one-month?Volatility tradingCoreVolatility tradingMacro trading
  10. 010A company pays fixed 7.5% semi-annually on a Rs 100 crore swap with two years left. Given the four discount factors, find today's par swap rate and the swap's value to the company.Interest rate derivativesCoreRates derivativesDerivatives operations

Company names and figures are illustrative.