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
Showing 1–3 of 3 · filtered from 100Clear filters
- 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 makingQuant trading
- 044Vairatgad Market Makers quotes one-month options on Chandoli Paper. An at-the-money option has vega of Rs 1.2 per vol point per share, fair volatility is uncertain by about 0.8 points, and hedging costs about Rs 0.10 a share. What is a minimum sensible bid-offer width, and what would make you widen it?Market makingVolatility trading
- 088A client buys Rs 25 crore notional of three-month 105% calls on a stock at 400. Mid volatility is 28% and the desk charges 1.5 points. Price the charge, set up the hedge, and work the P&L if realised volatility turns out to be 32%.Sell-side sales and tradingEquity derivatives
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