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    UNIT 20 and 21 - Solution

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    Hemant bhanawat
    The document contains solutions to 13 questions related to derivatives and commodities. The questions calculate fair future prices using the cost of carry model, initial margin requirements, and payoffs for call and put option buyers and sellers under different spot prices.

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    UNIT 20 and 21 - Solution

    Uploaded by

    Hemant bhanawat
    16 views4 pages
    The document contains solutions to 13 questions related to derivatives and commodities. The questions calculate fair future prices using the cost of carry model, initial margin requirements, and payoffs for call and put option buyers and sellers under different spot prices.

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    © © All Rights Reserved

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    The document contains solutions to 13 questions related to derivatives and commodities. The questions calculate fair future prices using the cost of carry model, initial margin requirements, and payoffs for call and put option buyers and sellers under different spot prices.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    16 views4 pages

    UNIT 20 and 21 - Solution

    Uploaded by

    Hemant bhanawat
    The document contains solutions to 13 questions related to derivatives and commodities. The questions calculate fair future prices using the cost of carry model, initial margin requirements, and payoffs for call and put option buyers and sellers under different spot prices.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    You are on page 1of 4

    UNIT 20 and 21 – DERIVATIVES AND COMMODITIES

    SOLUTIONS
    Q 1.
    Fair future price = Spot price + cost to carry
    30,000+ 300+ 150 + ( 30,450 * 10% * 3/12)
    31211.25

    Q 2.
    Fair future price = Spot price + cost to carry
    35000 + 1000+ 250 + ( 36250* 7%* 3/12)
    36884

    Q 3.

    Fair future price = Spot price + cost to carry


    250 + (250 * 9% * 3/12)
    255.63

    Q 4.

    Fair future price = Spot price + cost to carry


    4500+ ( 4500 * 12% * 2/12) = 4590

    Q 5.
    Fair future price = Spot price + cost to carry
    228 + ( 228 * 16% * 2/12)
    234.16

    Q 6.
    Initial margin = Avg daily absolute change in Value of contract + 3 SD
    Initial margin= 10,000+ 3*2000= 16000

    Day Closing Price Profit and loss account Margin Balance


    05-02-2024 3296.5 0 16000
    06-02-2024 3294.4 -105 15895
    07-02-2024 3230.4 -3200 12695
    08-02-2024 3212.3 -905 4210 16000 11790
    09-02-2024 3267.5 2760 18760
    12-02-2024 3263.8 -185 18575
    13-02-2024 3292 1410 19985
    14-02-2024 3309.3 865 20850
    15-02-2024 3257.8 -2575 18275
    16-02-2024 3102.6 -7760 5485 16000 10515

    Q 7. Call option – Buyers / Holders payoff


    Exercise Price Spot Price Intrinsic V Call Premi Profit / (Loss)
    100 96 0 -3 -3
    100 97 0 -3 -3
    100 98 0 -3 -3
    100 99 0 -3 -3
    100 100 0 -3 -3
    100 101 1 -3 -2
    100 102 2 -3 -1
    100 103 3 -3 0
    100 104 4 -3 1
    100 105 5 -3 2

    Q 8. Call option – Buyers / Holders payoff

    Exercise Pr
    Q 9. Call option – Sellers payoff
    Exercise PrSpot Price Intrinsic V Call Premi Profit / (Loss)
    100 96 0 3 3
    100 97 0 3 3
    100 98 0 3 3
    100 99 0 3 3
    100 100 0 3 3
    100 101 -1 3 2
    100 102 -2 3 1
    100 103 -3 3 0
    100 104 -4 3 -1
    100 105 -5 3 -2

    Q 10. Call option – Sellers payoff

    Exercise Pr
    790
    790
    790
    790

    Q 11. Put Option – Buyers Payoff

    Exercise Pr
    Q 12. Put option – Buyers Payoff

    Exercise Pr
    500
    500
    500
    500

    Q 13. Put Option – Sellers Payoff

    Exercise Pr
    100
    100
    100
    100

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