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Lecture 9 - Futures and Options on Foreign
Exchange
Lecture10(Chapter 07)
Futures and Options on Foreign Exchange
外汇期货与期权
1.
A put option on $$15,000
with a strike price of ?10,000 is the same thing
as a call option on
?10,000 with a
strike price of $$15,000.
TRUE
2.
A CME contract on ?125,000 with
Septe
mber
delivery
交货
A.
is an example of a forward contract.
B.
is an example of a
futures contract.
C.
is an
example of a put option.
D.
is an example of a call option.
3.
Yesterday, you entered into a futures
contract to buy ?62,500 at $$1.50 per ?. Suppose
t
he
futures price closes
today at $$1.46. How much have you made/lost?
A.
Depends on your margin
balance.
B.
You have made
$$2,500.00.
C.
You have lost
$$2,500.00.
D.
You have
neither made nor lost money, yet.
4. In
reference to the futures market, a
A.
attempts to profit from a
change in the futures price
B.
wants to avoid price
variation by locking in a purchase price of the
underlying asset through
a long
position in the futures contract or a sales price
through a short position in the futures
contract
C.
stands ready to buy or sell contracts in unlimited
quantity
D.
both b) and c)
5. Comparing
A.
they are both
B.
their major
difference is in the way the underlying asset is
priced for future purchase or sale:
futures settle daily and forwards
settle at maturity.
C.
a
futures contract is negotiated by open outcry
between floor brokers or traders and is traded
on organized exchanges, while forward
contract is tailor-made by an international bank
for its
clients and is traded OTC.
D.
both b) and c)
Topic: Futures
Contracts: Some Preliminaries
7-1
? 2012 by
McGraw-Hill Education. This is proprietary
material solely for authorized instructor use. Not
authorized for sale or distribution in
any manner. This document may not be
copied, scanned, duplicated, forwarded,
distributed, or posted on a website, in whole or
part.
Lecture 9 - Futures and Options
on Foreign Exchange
6. Comparing
远期合约
and
期货合约
exchange
contracts, we can say
that
A.
delivery of the
underlying asset is seldom made in futures
contracts.
B.
delivery of
the underlying asset is usually made in forward
contracts.
C.
delivery of
the underlying asset is seldom made in either
contract
—
they are typically
cash
settled at maturity.
D.
both a) and b)
E.
both a) and c)
7. In which market does a clearinghouse
serve as a third party to all transactions?
A.
Futures
B.
Forwards
C.
Swaps
D.
None of the above
8. In the event of a default on one
side of a futures trade,
A.
the clearing member stands in for the defaulting
party.
结算会员代表为违约方
B.
the clearing member will
seek restitution for the defaulting
party.
寻求赔偿
C.
if the default is on the
short side, a randomly selected long contract will
not get paid. That
party will then have
standing to initiate a civil suit against the
defaulting short.
D.
both a)
and b)
9.
Yesterday, you
entered into a futures contract to buy ?62,500 at
$$1.50 per ?. Your initial
performance
bond is $$1,500 and your maintenance level is $$500.
At what settle price will you
get a
demand for additional funds to be posted?
< br>题目的意思是,初始保证金余额1500,
维持保证金水平为500,当汇率在哪
个水平上,客户需要追加保证金?
,
A.
$$1.5160 per ?.
B.
$$1.208 per
?.
C.
$$1.1920 per ?.
D.
$$1.4840 per
?.
10.
Yesterday,
you entered into a futures contract to sell
?62,500 at $$1.50 per ?. Your initial
performance bond is $$1,500 and your
maintenance level is $$500. At what settle price
will you
get a demand for additional
funds to be posted?
A.
$$1.5160 per ?.
B.
$$1.208 per
?.
C.
$$1.1920 per ?.
D.
$$1.1840 per
?.
7-2
? 2012 by
McGraw-Hill Education. This is proprietary
material solely for authorized instructor use. Not
authorized for sale or distribution in
any manner. This document may not be
copied, scanned, duplicated, forwarded,
distributed, or posted on a website, in whole or
part.
Lecture 9 - Futures and Options
on Foreign Exchange
11.
Yesterday, you entered into a futures
contract to buy ?62,500 at
$$1.50/?. Your initial
margin
was $$3,750 (= 0.04
?
?62,500
?
$$1.50/? = 4 percent of the contract
value in dollars).
Your maintenance
margin is $$2,000 (meaning that your broker leaves
you alone until your
account balance
falls to $$2,000). At what settle price (use 4
decimal places) do you get a margin
call?
A.
$$1.4720/?
62500×(1.5-?)=3750-2000
B.
$$1.5280/?
C.
$$1.500/?
D.
None of the above
12.
Three days ago, you
entered into a futures contract to sell ?62,500 at
$$1.50 per ?. Over the
past three days
the contract has settled at $$1.50, $$1.52, and
$$1.54. How much have you made or
lost?
A.
Lost $$0.04 per
? or $$2,500
B.
Made $$0.04 per ? or $$2,500
C.
Lost $$0.06 per
? or $$3,750
D.
None of the above
13. Today's
settlement price on a Chicago Mercantile Exchange
(CME) Yen futures contract is
$$0.8011/?
100. Your margin
account currently has a balance of $$2,000. The
next three days'
settlement prices are
$$0.8057/?
100, $$0.7996/?
100,
and $$0.7985/?
100. (The contractual size
of
one CME Yen contract is
?
12,500,000). If you have
a
short position
空头
in one
futures contract,
the changes in the
margin account from daily marking-to-market will
result in the balance of the
margin
account after the third day to be
日元贬值,赚钱
A.
$$1,425.
B.
$$2,000.
C.
$$2,325.
=(0.801
1-0.7985)×125000+2000
D.
$$3,425.
14.
Today's settlement price on a Chicago Mercantile
Exchange (CME) Yen futures contract is
$$0.8011/?
100. Your margin
account currently has a balance of $$2,000. The
next three days'
settlement prices are
$$0.8057/?
100, $$0.7996/?
100,
and $$0.7985/?
100. (The contractual size
of
one CME Yen contract is
?
12,500,000). If you have
a
long position
多头
in one
futures contract,
the changes in the
margin account from daily marking-to-market, will
result in the balance of
the margin
account after the third day to be
日元贬值,亏钱
A.
$$1,425.
B.
$$1,675.
C.
$$2,000.
D.
$$3,425.
Topic: Currency Futures
Markets
7-3
? 2012 by McGraw-Hill Education. This
is proprietary material solely for authorized
instructor use. Not authorized for sale or
distribution in
any manner. This
document may not be copied, scanned, duplicated,
forwarded, distributed, or posted on a website, in
whole or part.
Lecture 9 - Futures and
Options on Foreign Exchange
15. Suppose
the futures price is below the price predicted by
IRP. What steps would assure an
arbitrage profit?
A.
Go short in the spot
market, go long in the futures contract.
B.
Go long in the spot
market, go short in the futures contract.
C.
Go short in the spot
market, go short in the futures contract.
D.
Go long in the spot
market, go long in the futures contract.
16. What paradigm is used to define the
futures price?
A.
IRP
利率平价
B.
Hedge Ratio
C.
Black Scholes
D.
Risk Neutral Valuation
17. Suppose you observe the following
1-year interest rates, spot exchange rates and
futures
prices. Futures contracts are
available on ?10,000. How much
risk
-free arbitrage profit could
you make on 1 contract at maturity from
this mispricing?
A.
$$159.22
F=1.45×1.04/1.03=1.4641
B.
$$153.10
(1.48-1.4641)×10000=459
C.
$$439.42
D.
None of the above
The futures price of
$$1.48/? is above the IRP futures price of
$$1.4641/?, so we want to sel
l (i.e.
take a short position in 1 futures
contract on ?10,000, agreeing to sell ?10,000 in 1
year for
$$14,800).
Profit =
To hedge, we borrow $$14,077.67 today at
4%, convert to euro at the spot rate of $$1.45/?,
invest
at 3%. At maturity, our
investme
nt matures and pays ?10,000,
which we sell for $$14,800, and
then we
repay our dollar borrowing with $$14,640.78. Our
risk-free profit = $$159.22 = $$14,800 -
$$14,640.78
7-4
? 2012 by McGraw-Hill Education. This
is proprietary material solely for authorized
instructor use. Not authorized for sale or
distribution in
any manner. This
document may not be copied, scanned, duplicated,
forwarded, distributed, or posted on a website, in
whole or part.
Lecture 9 - Futures and
Options on Foreign Exchange
18. Which
equation is used to define the futures price?
A.
B.
C.
D.
19. Which equation is used to define
the futures price?
A.
B.
C.
D.
E.
Topic: Currency Futures Markets
7-5
? 2012 by McGraw-Hill Education. This
is proprietary material solely for authorized
instructor use. Not authorized for sale or
distribution in
any manner. This
document may not be copied, scanned, duplicated,
forwarded, distributed, or posted on a website, in
whole or part.
Lecture 9 - Futures and
Options on Foreign Exchange
20. If a
currency futures contract (direct quote) is priced
below the price implied by Interest
Rate Parity (IRP), arbitrageurs could
take advantage of the mispricing by simultaneously
A.
going short in the
futures contract, borrowing in the domestic
currency, and going long in the
foreign
currency in the spot market.
B.
going short in the
futures contract, lending in the domestic
currency, and going long in the
foreign
currency in the spot market.
C.
going long in the futures
contract, borrowing in the domestic currency, and
going short in the
foreign currency in
the spot market.
D.
going
long in the futures contract, borrowing in the
foreign currency, and going long in the
domestic currency, investing the
proceeds at the local rate of interest.
21. Open interest in
currency futures contracts
A.
tends to be greatest for
the near-term contracts.
B.
tends to be greatest for the longer-term
contracts.
C.
typically
decreases with the term to maturity of most
futures contracts.
D.
both
a) and c)
22. The
A.
the total number of
people indicating interest in buying the contracts
in the near future.
B.
the
total number of people indicating interest in
selling the contracts in the near future.
C.
the total number of
people indicating interest in buying or selling
the contracts in the near
future.
D.
the total number of long
or short contracts outstanding for the particular
delivery month.
23. If you think that
the dollar is going to appreciate against the
euro, you should
A.
buy put
options on the euro.
B.
sell
call options on the
euro.
卖出欧元看涨权
C.
buy call options on the euro.
D.
none of the above
24. From the perspective of
the writer
卖家
of a
put option
看跌期权
written on ?62,500. If
the
s
trike
price
执行价格
i
s
$$1.55/?, and the option premium is $$1,875, at what
exchange rate do
you start to lose
money?
A.
$$1.52/?
B.
$$1.55/?
C.
$$1.58/?
D.
None of the above
7-6
? 2012 by
McGraw-Hill Education. This is proprietary
material solely for authorized instructor use. Not
authorized for sale or distribution in
any manner. This document may not be
copied, scanned, duplicated, forwarded,
distributed, or posted on a website, in whole or
part.
Lecture 9 - Futures and Options
on Foreign Exchange
25. A European
option is different from an American option in
that
A.
one is traded in
Europe and one in traded in the United States.
B.
European options can only
be exercised at maturity; American options can be
exercised prior
to maturity.
C.
European options tend to
be worth more than American options,
ceteris paribus
.
D.
American options have a
fixed exercise price; European options' exercise
price is set at the
average price of
the underlying asset during the life of the
option.
26. An
A.
a contract giving the seller (writer) of the
option the right, but not the obligation, to buy
(call)
or sell (put) a given quantity
of an asset at a specified price at some time in
the future.
B.
a contract
giving the owner (buyer) of the option the right,
but not the obligation, to buy (call)
or sell (put) a given quantity of an
asset at a specified price at some time in the
future.
C.
a contract giving
the owner (buyer) of the option the right, but not
the obligation, to buy (put)
or sell
(call) a given quantity of an asset at a specified
price at some time in the future.
D.
a contract giving the
owner (buyer) of the option the right, but not the
obligation, to buy (put)
or sell (sell)
a given quantity of an asset at a specified price
at some time in the future.
27. An
investor believes that the price of a stock, say
IBM's shares, will increase in the next 60
days. If the investor is correct, which
combination of the following investment strategies
will
show a profit in all the choices?
(i) - buy the stock and
hold it for 60 days
(ii) - buy a put
option
(iii) - sell (write) a call
option
(iv) - buy a call option
(v) - sell (write) a put option
A.
(i), (ii), and (iii)
B.
(i), (ii), and (iv)
C.
(i), (iv), and (v)
D.
(ii) and (iii)
28. Most exchange traded currency
options
A.
mature every
month, with daily resettlement.
B.
have original maturities
of 1, 2, and 3 years.
C.
have original maturities of 3, 6, 9, and 12
months.
D.
mature every
month, without daily resettlement.
29.
The volume of OTC currency options trading is
A.
much smaller than that of
organized-exchange currency option trading.
B.
much larger than that of
organized-exchange currency option trading.
C.
larger, because the
exchanges are only repackaging OTC options for
their customers.
D.
none of
the above
7-7
?
2012 by McGraw-Hill Education. This is proprietary
material solely for authorized instructor use. Not
authorized for sale or distribution in
any manner. This document may not be
copied, scanned, duplicated, forwarded,
distributed, or posted on a website, in whole or
part.
Lecture 9 - Futures and Options
on Foreign Exchange
30. In the CURRENCY
TRADING section of
The Wall Street
Journal
, the following appeared
under the heading OPTIONS:
Which combination of the following
statements are true?
(i)-
The time values of the 68 May and 69 May put
options are respectively .30 cents and .50
cents.
(ii)- The 68 May put
option has a lower time value (price) than the 69
May put option.
(iii)- If everything
else is kept constant, the spot price and the put
premium are inversely related.
(iv)-
The time values of the 68 May and 69 May put
options are, respectively, 1.63 cents and
0.83 cents.
(v)- If
everything else is kept constant, the strike price
and the put premium are inversely
related.
A.
(i),
(ii), and (iii)
B.
(ii),
(iii), and (iv)
C.
(iii) and
(iv)
D.
( iv) and (v)
31. With currency futures options the
underlying asset is
A.
foreign currency.
B.
a call
or put option written on foreign currency.
C.
a futures contract on the
foreign currency.
D.
none of
the above
32. Exercise of a currency
futures option results in
A.
a long futures position
for the call buyer or put writer.
B.
a short futures position
for the call buyer or put writer.
C.
a long futures position
for the put buyer or call writer.
D.
a short futures position
for the call buyer or put buyer.
7-8
? 2012 by McGraw-Hill Education. This
is proprietary material solely for authorized
instructor use. Not authorized for sale or
distribution in
any manner. This
document may not be copied, scanned, duplicated,
forwarded, distributed, or posted on a website, in
whole or part.
Lecture 9 - Futures and
Options on Foreign Exchange
33. A
currency futures option amounts to a derivative on
a derivative. Why would something
like
that exist?
A.
For some
assets, the futures contract can have lower
transactions costs and greater liquidity
than the
underlying asset.
标的资产
B.
Tax consequences matter
as well, and for some users an option contract on
a future is more
tax efficient.
C.
Transactions costs and
liquidity.
D.
All of the
above
34.
The current spot
exchange rate
目前即期汇率
is $$1.55 = ?1.00 and the
three
-month forward
rate is
$$1.60 = ?1.00. Consi
der a
three-
month American call option on
?62,500. For this option
to be
considered at-the-money, the strike price must be
A.
$$1.60 =
?1.00
B.
$$1.55 = ?1.00
C.
$$1.55
?
(1+
i
$$
)
3/12
= ?1.00
?
(1+
i
?
)
3/12
D.
none of the
above
35. The current spot exchange
rate
is $$1.55 = ?1.00 and the
three
-month forward rate is $$1.60 =
?1.00. Consider a
three
-
month American call
option on ?62,500 with a strike price of $$1.50 =
?1.00. Immediate exercise of this
option will generate a profit of
A.
$$6,125
B.
$$6,125/(1+
i
$$
)
3/12
C.
negative profit, so
exercise would not occur
D.
$$3,125
36.
The
current spot exchange rate is $$1.55 = ?1.00 and
the three
-month forward rate is $$1.60 =
?1.00. Consider a
three
-
month American call
option on ?62,500 with a strike price of $$1.50 =
?1.00. If
you pay an option
premium of $$5,000 to buy this call, at what
exchange rate will you
break-even?
A.
$$1.58 =
?1.00
B.
$$1.62 = ?1.00
C.
$$1.50 =
?1.00
D.
$$1.68 = ?1.00
7-9
? 2012 by McGraw-Hill Education. This
is proprietary material solely for authorized
instructor use. Not authorized for sale or
distribution in
any manner. This
document may not be copied, scanned, duplicated,
forwarded, distributed, or posted on a website, in
whole or part.
Lecture 9 - Futures and
Options on Foreign Exchange
37.
Consider the graph of a call option shown at
right. The option is a three-month American
call option on ?62,500 with a strike
price of $$1.50 = ?1.00 and an option premium of
$$3,125.
What are the values of A, B,
and C, respectively?
A.
A = -$$3,125
(or -$$.05 depending on your scale); B = $$1.50; C =
$$1.55
B.
A =
-
?3,750 (or
-
?.06
depend
ing on your scale); B = $$1.50; C
= $$1.55
C.
A = -$$.05; B =
$$1.55; C = $$1.60
D.
none of
the above
7-10
? 2012 by
McGraw-Hill Education. This is proprietary
material solely for authorized instructor use. Not
authorized for sale or distribution in
any manner. This document may not be
copied, scanned, duplicated, forwarded,
distributed, or posted on a website, in whole or
part.
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