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34 Cards in this Set
- Front
- Back
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XBP June 170 call @ 2.14
prem? strike (how many USD for 1 BP?) |
prem= 0.0214 x x 31250 = $668.75
strike= $1.7 USD / 1 BP |
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XJY Dec 98 call @ 1.20
prem? strike? |
prem= 6250000 x x.00012 = $750
strike= $0.0098 UDS / 1 Yen |
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SF Sep 76 call
cost to exercise? |
62500 x .76 = $47500
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uncovered currency option margin req OTM
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4% underlying + premium - OTM
or 3/4% underlying + premium |
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uncovered currency option margin req ITM
also, what is the deposit req? |
margin = 4% underlying + premium
deposit = 4% underlying |
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margin req. uncovered index option (narrow) OTM
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20% underlying + premium - OTM
or 10% + premium |
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margin req. uncovered index option (broad based)
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15% + premium - OTM
or 10% + premium |
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margin req. uncovered index option (narrow). ATM or ITM
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20% + premium
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margin req. uncovered index option (broad based). ITM, ATM.
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15% + premium
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If 1 CD = 80 cents
Then 1 USD = CD? |
1/.80 = 1.25 CD
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throught the PHLX:
XAD increments? XBP XCD |
XAD 50000
XBP 31250 XCD 50000 |
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through the PHLX:
ECU increments? XJY XSF |
ECU 62500
XJY 6250000 XSF 62500 |
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premium on a currency option.
If the premium changes by 0.01, Then by how many $ does the premium change? for AD, BP, CD, EU, SF, or Yen? |
AD = $5 (50000 x 0.0001 = 5)
BP = 3.125 CD = 5 EU = 6.25 SF = 6.25 Yen= 6.25 |
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margin req. interest rate options. uncovered OTM.
T-Bill |
0.35% underlying + premium - OTM
or .05% underlying + premium (note: 1,000,000 x .0005 = $500) |
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margin req. Interest rate options. uncovered, OTM
T-Note |
3% underlying + premium - OTM
or 0.50% underlying + premium (note: 0.5% = $500, 3% = $3000) |
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margin req. uncovered interest rate option. OTM
T-Bond |
3.5% underlying + premium - OTM
or .50% underlying + premium (Note: .5% = 500, 3.5% = 3500) |
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interest rate option.
T-Note option premium of 3.24 = ? |
3.24 = 3 24/32% x 100000 = $3750
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interest rate options.
underlying amounts for bill note bond |
bill = 1,000,000
note = 100000 bond = 100000 |
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interest rate options
contracts trade in what increments? |
50 bp
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interest rate options
1 pb = USD |
$25
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interest rate options
prem of 1 = USD? |
prem 1 = 100 bp
1 bp = $25 prem 1 = 100 x $25 = $2500 |
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interest rate options.
prem of 1.35 = USD? |
prem of 1 = 100 bp
1 bp = $25 prem 1.35 = 135 x 25 = $3375 |
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T-Note/T-Bond is traded where?
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ASE, CBOE
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interest rate options.
premium for contract. which one trades in different increments? for that issue, 1.16 = USD? |
T-Bond quote
1.16 = 1 16/32% x 100000 = $1500 |
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interest rate options
T-Bond prem 4.04 = USD? |
4 4/32% x 100000 = $4125
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equity options. margin req?
long Jun 20 call (2005) short Nov 25 call (2004) |
zero
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equity option. margin req? deposit req?
short XYZ Mar 25 call @1 XYZ @ 20 |
OTM option.
2000 x .2 = 400, 1 x 100 = 100 OTM = 5 x 100 = 500 500 - 500 = zero or 2000 x .1 = 200, 1 x 100 = 100 200 + 100 = 300 margin is $300. deposit is $200. |
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equity option. margin req? deposit req?
short XYZ Apr 50 put @ 12.25. XYZ @ 40. |
4000 x .2 = 800, 12.25 x 100 = 1225
margin = $2025 deposit = $800 |
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interest rate option. margin req? deposit req?
uncovered T-Bill @ 1.60. strike 87. market = 87. |
ATM contract.
160 x 25 = 4000, .35% underlying = 3500 margin = $7500 deposit = $3500 |
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interest rate option. margin req? deposit req?
T-Bond call option. uncovered Sep 96 call @ 6.24. T-Bond @ 98. |
6 24/32% x 100000 = 6750
3.5% underlying = 3500 margin = 10250 deposit = 3500 |
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currency option. sold uncovered CD Sep 80 call @ 1.40. spot rate is 0.8060. call is assigned. profit or loss?
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50000 CD for each contract
sell call = 50000 x 0.014 = $700 buy CD = 50000 x 0.8060 = $40300 sell CD, assignment = 50000 x .8 = 40000 700 + 40000 - 40300 = 400 profit $400 |
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currency option. margin req? deposit req?
buy Dec 46 SF @ 0.34, spot rate 0.4980, exercise call. profit or loss? |
SF = 62500
buy call, 62500 x .0034 = 212.50 exercise call, 62500 x .46 = 28750 sell at spot, 62500 x .498 = 31125 31125 - 212.5 - 28750 = 2162.5 profit $2162.50 |
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synthetic positions
call = |
long call = long stock + long put
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write a call in a CASH account. what do you need to to write the call?
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1. underlying stock
or 2. escrow receipt from a bank for stock being held in account |
