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. 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
  2. 040Pranhita Capital is short a one-month at-the-money call on a Rs 1,000 stock at 25% volatility. Compare the hedging error from rehedging daily and weekly, and the cost at 0.05% of the traded value per rehedge. Which frequency would you choose?Greeks and managing an options bookHardVolatility tradingQuant trading
  3. 052You are short Rs 5 lakh of one-month vega and can only hedge with three-month options. Size the hedge, then show what happens when one-month vol rises 4 points and three-month vol rises 2.Greeks and managing an options bookHardVolatility tradingExotics trading
  4. 067An index options book has delta of plus 800 index units, gamma of minus 1.3 units per point and vega of minus Rs 3 lakh per vol point, with the index at 22,000. Build the P&L grid for index moves of minus 2%, 0 and plus 2% and volatility moves of minus 2, 0 and plus 2 points.Greeks and managing an options bookHardRisk managementEquity derivatives

Company names and figures are illustrative.