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 1–3 of 3 · filtered from 100Clear filters
  1. 028A fund sells Satpura 50 index variance at 16 and buys variance on its ten equal-weight constituents at 28. Realised comes in at 14 for the index and 30 for each stock. What correlation was implied, what was realised, and where did the P&L come from?Volatility tradingHardVolatility tradingExotics trading
  2. 051A covered call overlay that added 2.1% a year in a ten-year backtest lost about 1.5% in its first live year. The backtest filled at mid, the live market was 2 vol points wide, volatility halved and one month rallied 8%. Where did the gap come from?Volatility tradingHardJump TradingChicago · 2018
  3. 087A stock reports results in five trading days. The one-week option trades at 60% implied volatility against 30% on a normal day. What move is priced for results day, and would you sell the one-week straddle or a calendar against the one-month at 38%?Volatility tradingHardVolatility tradingEquity derivatives

Company names and figures are illustrative.