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 11–19 of 19 · filtered from 100Clear filters
  1. 055A client with Rs 10 lakh is bullish on a Rs 2,000 stock, lot 250. Two lots of futures, or ten lots of the one-month 2,100 call at Rs 40? Show the outcomes at 1,900, 2,050 and 2,300.Option strategies and trade ideasWarm upIndian brokingWealth management
  2. 056A one-year note pays twice the stock's rise up to 15%, so at most 30%, and loses one for one if the stock falls. Tabulate it against owning the stock for moves of minus 20%, 0, plus 10%, plus 15% and plus 40%.Structured products and client solutionsWarm upStructured productsWealth management
  3. 068A desk holds 400 lots, lot 50, of index calls with delta 0.45, gamma 0.0002 per point and vega Rs 12 per vol point per unit, index at 22,000. Express delta in index units and rupees, gamma as the change in rupee delta for a 1% move, and vega in rupees per vol point.Greeks and managing an options bookWarm upRisk managementIndian derivatives desks
  4. 069An exporter has sold USD 20 million forward at an average of 83.10. Forwards for the same dates are now 85.00, and the board sees a mark-to-market loss. Compute it, and explain why it is not the whole story.Currency derivatives and corporate FX hedgingWarm upCorporate treasuryFX derivatives
  5. 073A market maker quotes a stock's 500 call at 12.00 bid, 12.40 offered, lot 100. Over the day it buys 600 contracts on the bid and sells 400 on the offer; the option's delta is 0.5. What spread did it earn, what inventory is left, and how does it hedge it?Market making and trading scenariosWarm upSusquehanna International GroupBala Cynwyd · 2025
  6. 076A client is long 50 lots of calls with delta 0.30, short 20 lots of puts with delta minus 0.40 and long 10 lots of futures. What is the net delta, and how many futures make the book flat?Greeks and managing an options bookWarm upIndian brokingEquity derivatives
  7. 077Devkund Textiles closed at 500, 505, 498, 502, 510, 506, 499, 503, 508, 504 and 507 over eleven days. What is its realised volatility, and how does it compare with 30% implied?Volatility tradingWarm upVolatility trading
  8. 086An adviser compares a three-year note paying 100% of the index's price rise, with no protection, against a plain index fund. The index yields 1.3% a year in dividends. What does the note holder give up, and how do you explain it to the client?Structured products and client solutionsWarm upWealth managementStructured products
  9. 100A mid-market company borrows Rs 200 crore for three years at a floating benchmark plus 2%. Its bank offers a swap to pay fixed 7.1% and receive the benchmark. What is the all-in fixed cost, what are the yearly cash flows if the benchmark is 6.5% or 8%, and what does the company give up?Interest rate derivativesWarm upDeutsche BankNew York · 2024

Company names and figures are illustrative.