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 41–50 of 88 · filtered from 100Clear filters
  1. 045Tadoba Tractors is at Rs 500. A client sells the one-month 480 put at 15 and buys the 450 put at 6. What are the maximum profit, maximum loss and breakeven, and how does the position compare with owning the stock?Option strategies and trade ideasWarm upEquity derivativesIndian broking
  2. 046Ilvani Software earns USD 50 million a year and spends USD 15 million in dollars. How much of its dollar exposure should it hedge, and how much does a one-rupee move change profit before and after hedging 60% of the net exposure?Currency derivatives and corporate FX hedgingCoreCorporate treasuryFX derivatives
  3. 047Painganga Capital sold a one-month at-the-money straddle on Torna Logistics at 22% implied volatility, vega Rs 2 lakh per vol point, delta hedged daily. Realised volatility was 18%. Estimate the P&L, and describe a path that would have made the trade lose even so.Volatility tradingCoreVolatility tradingHedge funds
  4. 048Nagzira Machine Tools must pay USD 2 million in six months. The six-month forward is 84.40; a six-month dollar call struck at 84.50 costs 0.90 rupee per dollar. Compare the forward and the option if the rate ends at 82.00, 84.50 or 87.00.Currency derivatives and corporate FX hedgingCoreFX derivativesCorporate treasury
  5. 049At 10 am on expiry day, Baitarani Capital is short 200 lots (lot 50) of the Satpura 50 22,000 straddle, sold for 60 points, with the index at 22,000. What is the P&L at settlement if the index ends at 21,900, 22,000 or 22,150, and how does gamma behave through the day?Greeks and managing an options bookCoreIndian derivatives desksRisk management
  6. 050Saramati Cement trades at Rs 800 and its three-month futures at Rs 820, lot size 500. The rate is 7% continuous and no dividend is due. What is fair value, are the futures rich or cheap, and what does the cash-and-carry lock in per lot?Forwards, futures and arbitrageWarm upEquity derivativesIndian derivatives desks
  7. 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
  8. 053A five-year convertible with Rs 1,000 face converts into 8 shares. The stock is Rs 110, the straight bond is worth Rs 880 and a five-year call struck at Rs 125 is worth Rs 25. Value the convertible and its conversion premium.Option pricing and arbitrage checksCoreEquity derivativesCredit trading
  9. 054A fund receives Rs 200 crore at 3 pm that it cannot invest in stocks before the close. How does it equitise with index futures at 22,000, lot 50, and what does it save if the index rises 1.5% overnight?Hedging with futuresWarm upAsset managementIndian derivatives desks
  10. 055A client with Rs 10 lakh is bullish on a Rs 2,000 stock, lot 250. Two lots of futures, or ten lots of the one-month 2,100 call at Rs 40? Show the outcomes at 1,900, 2,050 and 2,300.Option strategies and trade ideasWarm upIndian brokingWealth management

Company names and figures are illustrative.