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 1–8 of 8 · filtered from 100Clear filters
  1. 006A jeweller needs 100 kg of gold in six months. Spot is Rs 72,000 per 10 g, the six-month future Rs 74,500, storage 0.4% a year and the rate 7%. Buy now and store, or buy the future, and what is the market saying?Forwards, futures and arbitrageCoreCommodities tradingCorporate treasury
  2. 020The index is at 22,000, the one-month future at 22,100 and the two-month future at 22,300, with one month of carry worth 0.47%. Which leg is mispriced, what calendar spread follows, and what can go wrong before expiry?Forwards, futures and arbitrageCoreIndian derivatives desksMarket making
  3. 035Kolahoi Pharma is at Rs 1,500 and pays a Rs 30 dividend in two months. The six-month future trades at Rs 1,510 with rates at 6.5% continuous. What is fair value, which way does the arbitrage run, and what does the trade need that is not always there?Forwards, futures and arbitrageCoreEquity derivativesMarket making
  4. 037Six months ago a fund agreed to buy 10,000 shares of Kabini Cables at Rs 520 in one year. The stock is now Rs 560, six months remain and the rate is 7% continuous. What is the forward worth today, and to whom?Forwards, futures and arbitrageWarm upEquity derivativesDerivatives operations
  5. 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
  6. 066A fund holds Rs 50 crore of a stock at Rs 600. The one-month future trades at Rs 597, while carry at 7% says it should be about Rs 603.50. How does switching from the shares into cash plus futures earn extra return, and what if the discount has not closed by expiry?Forwards, futures and arbitrageCoreAsset managementIndian derivatives desks
  7. 083The index is at 22,000, the one-month future at 22,120, the rate 6.8%, the dividend yield 1.2% and round-trip costs 0.08%. Is a new cash-futures arbitrage worth putting on, and what return does the basis lock in?Forwards, futures and arbitrageCoreAsset managementIndian derivatives desks
  8. 096A fund is short a bond future settling at 98.00 and must choose what to deliver: bond A at 101.20 with conversion factor 1.0300, B at 96.50 with 0.9850, C at 104.80 with 1.0700. Which is cheapest to deliver, and how could that change if yields rise sharply?Forwards, futures and arbitrageHardRates derivativesAsset management

Company names and figures are illustrative.