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 1–5 of 5 · filtered from 100Clear filters
  1. 022On a Rs 1,000 stock, compare a covered call, a protective put and a long straddle over three equally likely outcomes of 850, 1,000 and 1,150. Which makes more money on average, which has the more volatile P&L, and where does each come from?Option strategies and trade ideasCoreSusquehanna International GroupPhiladelphia · 2025
  2. 024An airline hedging 60,000 tonnes of jet fuel with 1,000-barrel crude futures gets a regression of jet fuel price changes on crude futures changes: slope 0.71, standard error 0.08, R-squared 0.64, 36 observations. Read it, set the hedge, and say how much risk it removes.Hedging with futuresCoreWolverine TradingChicago · 2016
  3. 071After selling calls to a client, your desk must buy 2 lakh shares to hedge delta. Mid is 500.5 and the offers are 20,000 at 501, 40,000 at 502, 60,000 at 503 and 80,000 at 505. What are the average fill and the slippage if you sweep the book, and what else could you do?Market making and trading scenariosCoreTower Research CapitalNew York · 2020
  4. 081A stock at 400 should drift to 420 to 440 over two months, not beyond. Buy the 400 call at 14, buy the 400/440 call spread at 10, or sell the 380 put at 6? Pick one.Option strategies and trade ideasCoreOld Mission CapitalChicago · 2025
  5. 099In a group mock trading game, a contract settles at a company's September scooter sales in thousands. Your opening estimate is 80, range 70 to 90. Clues arrive: registrations running 8% above last year, then a three-day factory shutdown costing about 9,000 units. Set the market, update it after each clue, and manage a 50-lot limit.Market making and trading scenariosCoreDRWNew York · 2026Belvedere TradingChicago · 2022

Company names and figures are illustrative.