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 1–10 of 10 · filtered from 100Clear filters
  1. 004Pitch a stock on a margin recovery thesis and express it with a call spread sized so the worst case is 0.5% of a Rs 100 crore book. Show the payoff at three prices.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025BarclaysNew York · 2026ScotiabankToronto · 2025
  2. 021In a ten-minute group exercise, pitch a trade on two steel makers: one has options at 28% implied against 35% realised, the other 40% implied against 30% realised. Vega is Rs 12,000 and Rs 9,000 a lot. Build a vega-neutral trade and say what would make it lose.Option strategies and trade ideasHardMorgan StanleyTokyo · 2025
  3. 022On a Rs 1,000 stock, compare a covered call, a protective put and a long straddle over three equally likely outcomes of 850, 1,000 and 1,150. Which makes more money on average, which has the more volatile P&L, and where does each come from?Option strategies and trade ideasCoreSusquehanna International GroupPhiladelphia · 2025
  4. 033A fund with no spare cash wants exposure to Purandar Motors at Rs 700. The three-month 700 call is 42 and the 700 put 30, rates are 7%, and the future trades at 712. Build a synthetic long, compare it with the future, and say whether anything is mispriced.Option strategies and trade ideasCoreAsset managementEquity derivatives
  5. 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
  6. 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
  7. 074A stock at Rs 1,200 reports results tomorrow, and the at-the-money straddle expiring in a week costs Rs 84. Its last eight results-day moves were 5%, 3%, 9%, 4%, 6%, 2%, 7% and 4%. Buy the straddle, sell it, or sell an iron fly with wings at 1,100 and 1,300 for Rs 60?Option strategies and trade ideasHardVolatility tradingEquity derivatives
  8. 078You are bearish on a stock at Rs 250 over three months. Short the stock with an 8% borrow, buy the 250 put at 12, or buy the 250/220 put spread for 8? Show the outcomes at 200, 240 and 270.Option strategies and trade ideasCoreHedge fundsEquity derivatives
  9. 081A stock at 400 should drift to 420 to 440 over two months, not beyond. Buy the 400 call at 14, buy the 400/440 call spread at 10, or sell the 380 put at 6? Pick one.Option strategies and trade ideasCoreOld Mission CapitalChicago · 2025
  10. 092A family office expects the bank index, at 48,000, to stay between 47,000 and 49,000 for two weeks. Compare selling the 46,500 put and 49,500 call for 180 points with adding 46,000 and 50,000 wings for a net 120, at 45,000, 48,000 and 51,500.Option strategies and trade ideasCoreWealth managementIndian derivatives desks

Company names and figures are illustrative.