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
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  1. 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
  2. 041Kalyangad Capital runs a delta-neutral short Satpura 50 options book with gamma of minus 2 units per point and vega of minus Rs 5 lakh per vol point, index at 22,000. Stress it for a 10% gap down with volatility up 10 points. Why does the Greek estimate understate the loss?Margin, clearing and risk limitsHardRisk managementClearing and risk

Company names and figures are illustrative.