第七章外汇期货与外汇期权

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

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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 ?.

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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

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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

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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

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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

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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

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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.

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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

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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

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any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.