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 1–2 of 2 · 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. 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

Company names and figures are illustrative.