Question 1

Consider a condor made up of calls at strikes 90,95,100,105,and a butterfly call spread at strikes 90,97.5,105.Which of the following statements is valid?

Accepted Answer

A) A condor is worth less than the butterfly spread irrespective of the level of the stock price. 
B) A condor is worth more than the butterfly spread irrespective of the level of the stock price. 
C) A condor is worth less than the butterfly spread when the stock price is less than 90. 
D) A condor is worth more than the butterfly spread when the stock price is greater than 105. 
A) A condor is worth less than the butterfly spread irrespective of the level of the stock price. 
B) A condor is worth more than the butterfly spread irrespective of the level of the stock price. 
C) A condor is worth less than the butterfly spread when the stock price is less than 90. 
D) A condor is worth more than the butterfly spread when the stock price is greater than 105.

Question 2

A long position in a bearish 90/100 call spread plus a long position in a bullish 90/100 put spread for the same maturity is:

Accepted Answer

A) An options strategy to short the stock. 
B) An options strategy to go long the stock. 
C) Always in-the-money at maturity. 
D) A sophisticated approach to borrowing money. 
A) An options strategy to short the stock. 
B) An options strategy to go long the stock. 
C) Always in-the-money at maturity. 
D) A sophisticated approach to borrowing money.

Question 3

Suppose you are short a call and long a put on the S&P 500 index with the same strike and same maturity.Then,you are essentially holding

Accepted Answer

A) A long forward on the S&P 500 index 
B) A long straddle on the S&P 500 index 
C) A short forward on the S&P 500 index 
D) A short straddle on the S&P 500 index 
A) A long forward on the S&P 500 index 
B) A long straddle on the S&P 500 index 
C) A short forward on the S&P 500 index 
D) A short straddle on the S&P 500 index

Question 4

The three-month 90-strike put is priced at $2 and the three-month 100-strike put is priced at $7.What is the maximum possible net payoff on a bearish vertical spread using these options?

Accepted Answer

A) $5 
B) $7 
C) $8 
D) $10 
A) $5 
B) $7 
C) $8 
D) $10

Question 5

You are long an at-the-money straddle on a stock index.Which of the following statements is valid?

Accepted Answer

A) Your position increases in value if,ceteris paribus,the index rises. 
B) Your position increases in value if,ceteris paribus,the index falls. 
C) Your position increases in value if,ceteris paribus,the volatility of the index rises. 
D) All of the above. 
A) Your position increases in value if,ceteris paribus,the index rises. 
B) Your position increases in value if,ceteris paribus,the index falls. 
C) Your position increases in value if,ceteris paribus,the volatility of the index rises. 
D) All of the above.

Consider a condor made up of calls at strikes 90,95,100,105,and a butterfly call spread at strikes 90,97.5,105.Which of the following statements is valid?

A long position in a bearish 90/100 call spread plus a long position in a bullish 90/100 put spread for the same maturity is:

Suppose you are short a call and long a put on the S&P 500 index with the same strike and same maturity.Then,you are essentially holding

The three-month 90-strike put is priced at $2 and the three-month 100-strike put is priced at $7.What is the maximum possible net payoff on a bearish vertical spread using these options?

You are long an at-the-money straddle on a stock index.Which of the following statements is valid?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters

Exam 8: Options: Payoffs Trading Strategies

Consider a condor made up of calls at strikes 90,95,100,105,and a butterfly call spread at strikes 90,97.5,105.Which of the following statements is valid?

A long position in a bearish 90/100 call spread plus a long position in a bullish 90/100 put spread for the same maturity is:

Suppose you are short a call and long a put on the S&P 500 index with the same strike and same maturity.Then,you are essentially holding

The three-month 90-strike put is priced at $2 and the three-month 100-strike put is priced at $7.What is the maximum possible net payoff on a bearish vertical spread using these options?

You are long an at-the-money straddle on a stock index.Which of the following statements is valid?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters