第七章外汇期货与外汇期权.docx

第七章外汇期货与外汇期权.docx

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第七章外汇期货与外汇期权

Lecture10（Chapter07）

FuturesandOptionsonForeignExchange

外汇期货与期权

1. Aputoptionon$15,000withastrikepriceof€10,000isthesamethingasacalloptionon€10,000withastrikepriceof$15,000. 

TRUE

2. ACMEcontracton€125,000withSeptemberdelivery 交货

A. isanexampleofaforwardcontract.

B. isanexampleofafuturescontract.

C. isanexampleofaputoption.

D. isanexampleofacalloption.

3. Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50per€.Supposethefuturespriceclosestodayat$1.46.Howmuchhaveyoumade/lost?

A. Dependsonyourmarginbalance.

B. Youhavemade$2,500.00.

C. Youhavelost$2,500.00.

D. Youhaveneithermadenorlostmoney,yet.

4. Inreferencetothefuturesmarket,a"speculator" 

A. attemptstoprofitfromachangeinthefuturesprice

B. wantstoavoidpricevariationbylockinginapurchasepriceoftheunderlyingassetthroughalongpositioninthefuturescontractorasalespricethroughashortpositioninthefuturescontract

C. standsreadytobuyorsellcontractsinunlimitedquantity

D. bothb）andc）

5. Comparing"forward"and"futures"exchangecontracts,wecansaythat 

A. theyareboth"marked-to-market"daily.

B. theirmajordifferenceisinthewaytheunderlyingassetispricedforfuturepurchaseorsale:

futuressettledailyandforwardssettleatmaturity.

C. afuturescontractisnegotiatedbyopenoutcrybetweenfloorbrokersortradersandistradedonorganizedexchanges,whileforwardcontractistailor-madebyaninternationalbankforitsclientsandistradedOTC.

D. bothb）andc）

Topic:

FuturesContracts:

SomePreliminaries

6. Comparing"forward"远期合约and"futures"期货合约exchangecontracts,wecansaythat 

A. deliveryoftheunderlyingassetisseldommadeinfuturescontracts.

B. deliveryoftheunderlyingassetisusuallymadeinforwardcontracts.

C. deliveryoftheunderlyingassetisseldommadeineithercontract—theyaretypicallycashsettledatmaturity.

D. botha）andb）

E. botha）andc）

7. Inwhichmarketdoesaclearinghouseserveasathirdpartytoalltransactions?

A. Futures

B. Forwards

C. Swaps

D. Noneoftheabove

8. Intheeventofadefaultononesideofafuturestrade, 

A. theclearingmemberstandsinforthedefaultingparty.结算会员代表为违约方

B. theclearingmemberwillseekrestitutionforthedefaultingparty.寻求赔偿

C. ifthedefaultisontheshortside,arandomlyselectedlongcontractwillnotgetpaid.Thatpartywillthenhavestandingtoinitiateacivilsuitagainstthedefaultingshort.

D. botha）andb）

9. Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50per€.Yourinitialperformancebondis$1,500andyourmaintenancelevelis$500.Atwhatsettlepricewillyougetademandforadditionalfundstobeposted?

 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. $1.5160per€.

B. $1.208per€.

C. $1.1920per€.

D. $1.4840per€.

10. Yesterday,youenteredintoafuturescontracttosell€62,500at$1.50per€.Yourinitialperformancebondis$1,500andyourmaintenancelevelis$500.Atwhatsettlepricewillyougetademandforadditionalfundstobeposted?

A. $1.5160per€.

B. $1.208per€.

C. $1.1920per€.

D. $1.1840per€.

11. Yesterday,youenteredintoafuturescontracttobuy€62,500at$1.50/€.Yourinitialmarginwas$3,750（=0.04⨯€62,500⨯$1.50/€=4percentofthecontractvalueindollars）.Yourmaintenancemarginis$2,000（meaningthatyourbrokerleavesyoualoneuntilyouraccountbalancefallsto$2,000）.Atwhatsettleprice（use4decimalplaces）doyougetamargincall?

A. $1.4720/€　　　６２５００×（１．５－？

）＝３７５０－２０００

B. $1.5280/€

C. $1.500/€

D. Noneoftheabove

12. Threedaysago,youenteredintoafuturescontracttosell€62,500at$1.50per€.Overthepastthreedaysthecontracthassettledat$1.50,$1.52,and$1.54.Howmuchhaveyoumadeorlost?

A. Lost$0.04per€or$2,500

B. Made$0.04per€or$2,500

C. Lost$0.06per€or$3,750

D. Noneoftheabove

13. Today'ssettlementpriceonaChicagoMercantileExchange（CME）Yenfuturescontractis$0.8011/¥100.Yourmarginaccountcurrentlyhasabalanceof$2,000.Thenextthreedays'settlementpricesare$0.8057/¥100,$0.7996/¥100,and$0.7985/¥100.（ThecontractualsizeofoneCMEYencontractis¥12,500,000）.Ifyouhaveashortposition空头inonefuturescontract,thechangesinthemarginaccountfromdailymarking-to-marketwillresultinthebalanceofthemarginaccountafterthethirddaytobe 日元贬值，赚钱

A. $1,425.

B. $2,000.

C. $2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００

D. $3,425.

14. Today'ssettlementpriceonaChicagoMercantileExchange（CME）Yenfuturescontractis$0.8011/¥100.Yourmarginaccountcurrentlyhasabalanceof$2,000.Thenextthreedays'settlementpricesare$0.8057/¥100,$0.7996/¥100,and$0.7985/¥100.（ThecontractualsizeofoneCMEYencontractis¥12,500,000）.Ifyouhavealongposition多头inonefuturescontract,thechangesinthemarginaccountfromdailymarking-to-market,willresultinthebalanceofthemarginaccountafterthethirddaytobe 日元贬值，亏钱

A. $1,425.

B. $1,675.

C. $2,000.

D. $3,425.

Topic:

CurrencyFuturesMarkets

15. SupposethefuturespriceisbelowthepricepredictedbyIRP.Whatstepswouldassureanarbitrageprofit?

A. Goshortinthespotmarket,golonginthefuturescontract.

B. Golonginthespotmarket,goshortinthefuturescontract.

C. Goshortinthespotmarket,goshortinthefuturescontract.

D. Golonginthespotmarket,golonginthefuturescontract.

16. Whatparadigmisusedtodefinethefuturesprice?

A. IRP　利率平价

B. HedgeRatio

C. BlackScholes

D. RiskNeutralValuation

17. Supposeyouobservethefollowing1-yearinterestrates,spotexchangeratesandfuturesprices.Futurescontractsareavailableon€10,000.Howmuchrisk-freearbitrageprofitcouldyoumakeon1contractatmaturityfromthismispricing?

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. Noneoftheabove

 Thefuturespriceof$1.48/€isabovetheIRPfuturespriceof$1.4641/€,sowewanttosell（i.e.takeashortpositionin1futurescontracton€10,000,agreeingtosell€10,000in1yearfor$14,800）.

Profit= 

Tohedge,weborrow$14,077.67todayat4%,converttoeuroatthespotrateof$1.45/€,investat3%.Atmaturity,ourinvestmentmaturesandpays€10,000,whichwesellfor$14,800,andthenwerepayourdollarborrowingwith$14,640.78.Ourrisk-freeprofit=$159.22=$14,800-$14,640.78

18. Whichequationisusedtodefinethefuturesprice?

A. 

B. 

C. 

D. 

19. Whichequationisusedtodefinethefuturesprice?

A. 

B. 

C. 

D. 

E. 

Topic:

CurrencyFuturesMarkets

20. Ifacurrencyfuturescontract（directquote）ispricedbelowthepriceimpliedbyInterestRateParity（IRP）,arbitrageurscouldtakeadvantageofthemispricingbysimultaneously 

A. goingshortinthefuturescontract,borrowinginthedomesticcurrency,andgoinglongintheforeigncurrencyinthespotmarket.

B. goingshortinthefuturescontract,lendinginthedomesticcurrency,andgoinglongintheforeigncurrencyinthespotmarket.

C. goinglonginthefuturescontract,borrowinginthedomesticcurrency,andgoingshortintheforeigncurrencyinthespotmarket.

D. goinglonginthefuturescontract,borrowingintheforeigncurrency,andgoinglonginthedomesticcurrency,investingtheproceedsatthelocalrateofinterest.

21. Openinterestincurrencyfuturescontracts 

A. tendstobegreatestforthenear-termcontracts.

B. tendstobegreatestforthelonger-termcontracts.

C. typicallydecreaseswiththetermtomaturityofmostfuturescontracts.

D. botha）andc）

22. The"openinterest"shownincurrencyfuturesquotationsis 

A. thetotalnumberofpeopleindicatinginterestinbuyingthecontractsinthenearfuture.

B. thetotalnumberofpeopleindicatinginterestinsellingthecontractsinthenearfuture.

C. thetotalnumberofpeopleindicatinginterestinbuyingorsellingthecontractsinthenearfuture.

D. thetotalnumberoflongorshortcontractsoutstandingfortheparticulardeliverymonth.

23. Ifyouthinkthatthedollarisgoingtoappreciateagainsttheeuro,youshould 

A. buyputoptionsontheeuro.

B. sellcalloptionsontheeuro.卖出欧元看涨权

C. buycalloptionsontheeuro.

D. noneoftheabove

24. Fromtheperspectiveofthewriter卖家ofaputoption看跌期权writtenon€62,500.Ifthestrikeprice执行价格is$1.55/€,andtheoptionpremiumis$1,875,atwhatexchangeratedoyoustarttolosemoney?

A. $1.52/€

B. $1.55/€

C. $1.58/€

D. Noneoftheabove

25. AEuropeanoptionisdifferentfromanAmericanoptioninthat 

A. oneistradedinEuropeandoneintradedintheUnitedStates.

B. Europeanoptionscanonlybeexercisedatmaturity;Americanoptionscanbeexercisedpriortomaturity.

C. EuropeanoptionstendtobeworthmorethanAmericanoptions,ceterisparibus.

D. Americanoptionshaveafixedexerciseprice;Europeanoptions'exercisepriceissetattheaveragepriceoftheunderlyingassetduringthelifeoftheoption.

26. An"option"is 

A. acontractgivingtheseller（writer）oftheoptiontheright,butnottheobligation,tobuy（call）orsell（put）agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.

B. acontractgivingtheowner（buyer）oftheoptiontheright,butnottheobligation,tobuy（call）orsell（put）agivenquantityofanassetataspecifiedpriceatsometimeinthefuture.

C. acontractgivingtheowner（buyer）oftheoptiontheright,butnottheobligation,tobuy（put）orsell（call）agivenquantityofanassetataspecifiedpriceatsometimeinthefutu