Exam 16: Futures Options

A futures price is currently 40 cents.It is expected to move up to 44 cents or down to 34 cents in the next six months.The risk-free interest rate is 6%. -What is the probability of an up movement in a risk-neutral world?

The risk-free rate is 5% and the dividend yield on the S&P 500 index is 2%.Which of the following is correct when a futures option on the index is being valued?

Consider a European one-year call futures option and a European one-year put futures options when the futures price equals the strike price.Which of the following is true?

What is the cash settlement if a put futures option on 50 units of the underlying asset is exercised?

Which of the following is acquired (in addition to a cash payoff)when the holder of a call futures exercises?

Which of the following is true about a futures option and a spot option on the same underlying asset with an identical strike price and expiration date?

What is the value of a European call futures option where the futures price is 50,the strike price is 50,the risk-free rate is 5%,the volatility is 20% and the time to maturity is three months?

What is the growth rate of an index futures price in the risk-neutral world?

Which of the following is NOT true?

A futures price is currently 40 cents.It is expected to move up to 44 cents or down to 34 cents in the next six months.The risk-free interest rate is 6%. -What is the value of a six month call option with a strike price of 39 cents?

When Black's model used to value a European option on the spot price of an asset,which of the following is NOT true?

A futures price is currently 40 cents.It is expected to move up to 44 cents or down to 34 cents in the next six months.The risk-free interest rate is 6%. -What is the value of a six-month put option with a strike price of 37 cents?

One-year European call and put options on an asset are worth $3 and $4 respectively when the strike price is $20 and the one-year risk-free rate is 5%.What is the one-year futures price of the asset if there are no arbitrage opportunities? (Use put-call parity.)

Which of the following is true for a September futures option?

Which of the following describes a futures-style option?

What is the cash settlement if a call futures option on 50 units of the underlying asset is exercised?

Which of the following is true?

Which of the following are true?

Which of the following is true when the futures price exceeds the spot price?

Which of the following is acquired (in addition to a cash payoff)when the holder of a put futures exercises?