Futures and Options on Foreign ExchangeTrue False Questions.doc
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1、Lecture 9 - Futures and Options on Foreign Exchange7-1 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
2、 website, in whole or part.Lecture10(Chapter 07) Futures and Options on Foreign ExchangeTrue / False Questions1. 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 FalseMultiple Choice Questions2. A CME contract on
3、125,000 with September delivery 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 the futures price closes today at
4、 $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 “speculator“ A. attempts to profit from a change in the futures price B. wants to avoi
5、d 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)Lecture 9 - Futures and Options o
6、n Foreign Exchange7-2 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.5. Com
7、paring “forward“ and “futures“ exchange contracts, we can say that A. they are both “marked-to-market“ daily. 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
8、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)6. Comparing “forward“ and “futures“ exchange contracts, we can say that A. delivery of the underly
9、ing 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 contractthey are typically cash settled at maturity. D. both a) and b) E. both a) and c)7. In which market does a clea
10、ringhouse serve as a third party to all transactions? A. Futures B. Forwards C. Swaps D. None of the above8. In the event of a default on one side of a futures trade, A. the clearing member stands in for the defaulting party. B. the clearing member will seek restitution for the defaulting party. C.
11、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)Lecture 9 - Futures and Options on Foreign Exchange7-3 2012 by McGraw-Hill Education. This is proprieta
12、ry 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.9. Yesterday, you entered into a futures contract to buy 62,500 at $1.50 per
13、 . 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. $1.4840 per .10. Yesterday, you entered into a futures contract to sell 62,500 at $1.50 pe
14、r . 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 .11. Yesterday, you entered into a futures contract to buy 62,500 at $1.50/.
15、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. $1.47
16、20/ B. $1.5280/ C. $1.500/ D. None of the above12. 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
17、. Lost $0.06 per or $3,750 D. None of the aboveLecture 9 - Futures and Options on Foreign Exchange7-4 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, dup
18、licated, forwarded, distributed, or posted on a website, in whole or part.13. Todays 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,
19、 and $0.7985/100. (The contractual size of one CME Yen contract is 12,500,000). If you have a short position 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 A. $1,425. B. $2,000. C. $2,
20、325. D. $3,425.14. Todays 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 cont
21、ract is 12,500,000). If you have a long position 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 A. $1,425. B. $1,675. C. $2,000. D. $3,425.15. Suppose the futures price is below the p
22、rice 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 lo
23、ng in the futures contract.16. What paradigm is used to define the futures price? A. IRP B. Hedge Ratio C. Black Scholes D. Risk Neutral ValuationLecture 9 - Futures and Options on Foreign Exchange7-5 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. N
24、ot 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.17. Suppose you observe the following 1-year interest rates, spot exchange rates and futures prices. Futures contracts are avai
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