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 29 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 011A client signs a one-year accumulator: buy 1,000 shares a day at Rs 900 on a Rs 1,000 stock, the deal ends if it closes above 1,050, and the client buys 2,000 a day below 900. Work three price paths.Structured products and client solutionsHardStructured productsPrivate banking
  4. 012A book has vega of Rs 62 lakh against a Rs 50 lakh limit and gamma of minus 3.5 against minus 3.0. With a one-month and a three-month option to trade, find a combination that brings both inside and explain the trade-off.Margin, clearing and risk limitsHardRisk managementEquity derivatives
  5. 018A spice exporter receives USD 4 million and EUR 1.5 million in each of the next three quarters and calls after a sharp rupee fall. Build a 75%, 50%, 25% layered hedge with the given forwards, show the rupees locked, and say what you would and would not say about the rupee.Currency derivatives and corporate FX hedgingHardFX derivativesSell-side sales and trading
  6. 019A company's CDS trades at 450 bp with a 40% recovery assumption, and one-year puts struck at Rs 80 on its Rs 200 stock cost Rs 6. For one year of protection against default, which is cheaper: CDS or deep out-of-the-money puts?Credit derivatives and counterparty riskHardCredit tradingHedge funds
  7. 021In a ten-minute group exercise, pitch a trade on two steel makers: one has options at 28% implied against 35% realised, the other 40% implied against 30% realised. Vega is Rs 12,000 and Rs 9,000 a lot. Build a vega-neutral trade and say what would make it lose.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025
  8. 025An options desk is short gamma of 8,000 shares per rupee on a Rs 400 stock, delta hedged, when news gaps it 8% to Rs 432. Implied volatility jumps from 30% to 38% and vega is minus Rs 1.5 lakh a point. Estimate the loss, the new delta, and what you do in the next ten minutes.Greeks and managing an options bookHardMarket makingEquity derivatives
  9. 026Anamudi Technologies grants one lakh employee options at the money, with a four-year expected term, 35% volatility and a 7% rate. What is the grant worth, how much does dilution change it, and why not use the ten-year contract life?Option pricing and arbitrage checksHardModel validationCorporate treasury
  10. 027A pension fund expects a 50 bp cut when the market prices 20 bp. Receive the two-year swap, buy a receiver swaption, or do nothing: how does each choice fare if the cut is 50 bp, 25 bp or zero?Interest rate derivativesHardRates derivativesMacro trading

Company names and figures are illustrative.