CA Final Derivatives Analysis and Valuation — practice questions
25 free MCQs with worked solutions. Tap any question for the answer + explanation, or practice them all in the app.
Practice CA Final Derivatives Analysis and Valuation in the app →A forward contract differs from a futures contract primarily in that a forward is:In a futures contract, marking-to-market means that:Holder of a call option has the right but not the obligation to:A put option becomes more valuable when:European-style options can be exercised:Spot price S = Rs 200; risk-free rate 6% pa, time 6 months, no dividends. The theoretical forward price F is:If the actual forward is Rs 210 while theoretical forward is Rs 206, the arbitrage strategy is to:Open interest in a futures contract represents:A long call with strike Rs 100 and premium Rs 5 has its breakeven at:A short put position has maximum profit equal to:In the binomial option pricing model, the risk-neutral probability of an up move equals:An at-the-money call with positive time to expiry has:Put-call parity for European options on a non-dividend stock states:Delta of a call option is approximately:S = Rs 50, K = Rs 50, T = 1, r = 5%, σ = 0; theoretical call value (deterministic) equals:Index futures contract size 50; index moves from 18,000 to 18,200 in a day. Mark-to-market gain on a long posiBinomial model: S = Rs 100, u = 1.2, d = 0.9, r = 5% (1 period), K = 105. Risk-neutral probability of up stateContinuing the prior question, one-period call value (undiscounted) equals weighted payoff:A trader writes 10 ATM calls at premium Rs 8 each (lot 100). If underlying ends at strike at expiry, profit/loHedging a long stock position with a long put creates a payoff equivalent to:A bull call spread is created by:An investor enters a long straddle expecting:Cost of carry model: forward price F = S · (1 + r − y) · T (simple form) where y is dividend yield. If S = 100Theta of a long option position is generally:An out-of-the-money put with strike 100 and spot 110 has intrinsic value equal to: