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 1–4 of 4 · filtered from 100Clear filters
  1. 049At 10 am on expiry day, Baitarani Capital is short 200 lots (lot 50) of the Satpura 50 22,000 straddle, sold for 60 points, with the index at 22,000. What is the P&L at settlement if the index ends at 21,900, 22,000 or 22,150, and how does gamma behave through the day?Greeks and managing an options bookCoreIndian derivatives desksRisk management
  2. 064A book has delta of plus 2,000 shares and gamma of minus 500 shares per rupee. Using the stock and one listed option with delta 0.6 and gamma 0.05, how many options and shares make it delta and gamma neutral?Greeks and managing an options bookCoreEquity derivativesMarket making
  3. 090A fund holds 1,000 lots of six-month at-the-money calls on a stock at 500 when the company announces a surprise special dividend of Rs 25, payable in two months. With delta 0.55, estimate the loss, and explain why put holders gain.Greeks and managing an options bookCoreEquity derivativesHedge funds
  4. 094A fund is long an at-the-money straddle position with gamma of 1,500 shares per rupee and theta of Rs 45,000 a day, rehedged at each close. Closes run 800, 812, 805, 790, 798, 801. Estimate each day's P&L and the week's.Greeks and managing an options bookCoreVolatility tradingEquity derivatives

Company names and figures are illustrative.