Ch007-Futures-and-Options教学内容.doc

Ch007-Futures-and-Options

精品文档
Eun & Resnick 4e
CHAPTER 7 Futures and Options on Foreign Exchange

Futures Contracts: Some Preliminaries
Currency Futures Markets
International Finance in Practice: CME Ramping Up FOREX Support, Targets OTC Business
Basic Currency Futures Relationships
Eurodollar Interest Rate Futures Contracts
Options Contracts: Some Preliminaries
Currency Options Markets
Currency Futures Options
Basic Option-Pricing Relationships at Expiration
American Option-Pricing Relationships
European Option-Pricing Relationships
Binomial Option-Pricing Model
European Option-Pricing Formula
Empirical Tests of Currency Options
Summary
MINI CASE: The Options Speculator

Futures Contracts: Some Preliminaries
1 A CME contract on €125,000 with September delivery
a) Is an example of a forward contract
b) Is an example of a futures contract
c) Is an example of a put option
d) Is an example of a call option
Answer: b)
Rationale: options trade on the CBOE

2 Yesterday, you entered into a futures contract to buy €62,500 at $1.20 per €. Suppose that the futures price closes today at $1.16. How much have you made/lost?
a) Depends on your margin balance
b) You have made $2,500.00
c) You have lost $2,500.00
d) You have neither made nor lost money, yet.
Answer: c)
Rationale: You have lost $0.04, 62,500 times for a total loss of $2,500 = $0.04/€ × €62,500

3 In reference to the futures market, a “speculator”
a) attempts to profit from a change in the futures price
b) wants to avoid price variation by locking in a purchase price of the underlying asset through a long position in the futures contract or a sales price through a short position in the futures contract
c) stands ready to buy or sell contracts in unlimited quantity
d) b) and c)
Answer: a)
4 Comparing “forward” and “futures” exchange contracts, we can say that:
a) They are both “marked-to-market” daily.
b) Their major difference is in the way the underlying asset is priced for future purchase or sale: futures settle daily and forwards settle at maturity.
c) A futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC.
d) b) and c)
Answer: d)

5 Comparing “forward” and “futures” exchange contracts, we can say that
a) Delivery of the underlying asset is seldom made in futures contracts
b) Delivery of the underlying asset is usually made in forward contracts
c) Delivery of the underlying asset is seldom made in either contract—they are typically cash settled at maturity.
d) a) and b)
e) a) and c).
Answer: d)

6 In which market does a clearinghouse serve as a third party to all transactions?
a) Futures
b) Forwards
c) Swaps
d) None of the above
Answer: a)

7 In the event of a default on one side of a futures trade,
a) The clearing member stands in for the defaulting party
b) The clearing member will seek restitution for the defaulting party
c) If the default is on the short side, a randomly selected long contract will not get paid. That party will then have standing to initiate a civil suit against the defaulting short.
d) a) and b)
Answer: d)

8 Yesterday, you entered into a futures contract to buy €62,500 at $1.20 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted?
a) $1.2160 per €.
b) $1.208 per €.
c) $1.1920 per €.
d) $1.1840 per €.
Answer: d)
Rationale: To get a margin call, you have to lose $1,000. That will happen when the price FALLS (since you’re buying euro) to $1.1840 per €:
[$1.20/ € – $1.1840 per €] × €62,500 = $1,000.
9 Yesterday, you entered into a futures contract to sell €62,500 at $1.20 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted?
a) $1.2160 per €.
b) $1.208 per €.
c) $1.1920 per €.
d) $1.1840 per €.
Answer: a)
Rationale: To get a margin call, you have to lose $1,000. That will happen when the price RISES (since you’re selling euro at $1.20 per €.) to $1.2160 per €:
[$1.2160/ € – $1.20 per €] × €62,500 = $1,000.

10 Three days ago, you entered into a futures contract to sell €62,500 at $1.20 per €. Over the past three days the contract has settled at $1.20, $1.22, and $1.24. How much have you made or lost?
a) Lost $0.04 per € or $2,500
b) Made $0.04 per € or $2,500
c) Lost $0.06 per € or $3,750
d) None of the above
Answer: a)
Rationale: Losses will happen when the price RISES (since you’re selling euro at $1.20 per €.) Total loss
[$1.20/ € – $1.24 per €] × €62,500 = –$2,500

Currency Futures Markets

11 Today’s settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days’ settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a short position in one futures contract, the changes in the margin account from daily marking-to-market will result in the balance of the margin account after the third day to be
a) $1,425
b) $2,000
c) $2,325
d) $3,425
Answer: c) not unlike Problem 1 at the end-of-chapter exercises
Rationale: $2,325 = $2,000 +
¥12,500,000×[(0.008011 – 0.008057) + (0.008057 – 0.007996) + (0.007996 – 0.007985)]

Please note that $0.8011/¥100 = $0.008011/¥ and $0.8057/¥100 = $0.008057/¥, etc.

12 Today’s settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days’ settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a long position in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to be:
a) $1,425
b) $1,675
c) $2,000
d) $3,425

Answer: b) not unlike Problem 1 at the end-of-chapter exercises
Rationale: $1,675 = $2,000 +
¥12,500,000×[(0.008057 - 0.008011) + (0.007996 – 0.008057) + (0.007985 – 0.007996)]
Please note that $0.8011/¥100 = $0.008011/¥ and $0.8057/¥100 = $0.008057/¥, etc.

Basic Currency Futures Relationships

13 Open interest in currency futures contracts
a) Tends to be greatest for the near-term contracts
b) Tends to be greatest for the longer-term contracts
c) Typically decreases with the term to maturity of most futures contracts
d) a) and c)
Answer: a)

14 The “open interest” shown in currency futures quotations is:
a) the total number of people indicating interest in buying the contracts in the near future
b) the total number of people indicating interest in selling the contracts in the near future
c) the total number of people indicating interest in buying or selling the contracts in the near future
d) the total number of long or short contracts outstanding for the particular delivery month
Answer: d)

Eurodollar Interest Rate Futures Contracts

15 The most widely used futures contract for hedging short-term U.S. dollar interest rate risk is:
a) The Eurodollar contract
b) The Euroyen contract
c) The EURIBOR contract
d) None of the above
Answer: a)
16 Consider the position of a treasurer of a MNC, who has $20,000,000 that his firm will not need for the next 90 days:
a) He could borrow the $20,000,000 in the money market
b) He could take a long position in the Eurodollar futures contract.
c) He could take a short position in the Eurodollar futures contract
d) None of the above
Answer: b)

17 A DECREASE in the implied three-month LIBOR yield causes Eurodollar futures price
a) To increase
b) To decrease
c) There is no direct or indirect relationship
d) None of the above
Answer: a)

Options Contracts: Some Preliminaries

18 If you think that the dollar is going to appreciate against the euro
a) You should buy put options on the euro
b) You should sell call options on the euro
c) You should buy call options on the euro
d) None of the above
Answer: c)

19 From the perspective of the writer of a put option written on €62,500. If the strike price is $1.25/€, and the option premium is $1,875, at what exchange rate do you start to lose money?
a) $1.22/€
b) $1.25/€
c) $1.28/€
d) None of the above
Answer: a)
Rationale: Per euro, the option premium is . Since it’s a put option, the writer loses money when the price goes down, thus he breaks even at $1.25/€ – $0.03/€ = $1.22/€

20 A European option is different from an American option in that
a) One is traded in Europe and one in traded in the United States
b) European options can only be exercised at maturity; American options can be exercised prior to maturity.
c) European options tend to be worth more than American options, ceteris paribus.
d) American options have a fixed exercise price; European options’ exercise price is set at the average price of the underlying asset during the life of the option.
Answer: b)
21 An “option” is(名词解释)
a) a contract giving the seller (writer) the right, but not the obligation, to buy or sell a given quantity of an asset at a specified price at some time in the future
b) a contract giving the owner (buyer) the right, but not the obligation, to buy or sell a given quantity of an asset at a specified price at some time in the future
c) not a derivative, nor a contingent claim, security
d) unlike a futures or forward contract
Answer: b)

22 An investor believes that the price of a stock, say IBM’s shares, will increase in the next 60 days. If the investor is correct, which combination of the following investment strategies will show a profit in all the choices?

(i) - buy the stock and hold it for 60 days
(ii) - buy a put option
(iii) - sell (write) a call option
(iv) - buy a call option
(v) - sell (write) a put option

a) (i), (ii), and (iii)
b) (i), (ii), and (iv)
c) (i), (iv), and (v)
d) (ii) and (iii)
Answer: c)

Currency Options Markets

23 Most exchange traded currency options
a) Mature every month, with daily resettlement.
b) Have original maturities of 1, 2, and 3 years.
c) Have original maturities of 3, 6, 9, and 12 months.
d) Mature every month, withOUT daily resettlement
Answer: c)

24 The volume of OTC currency options trading is
a) Much smaller than that of organized-exchange currency option trading.
b) Much larger than that of organized-exchange currency option trading.
c) Larger, because the exchanges are only repackaging OTC options for their customers
d) None of the above
Answer: b)

25 In the CURRENCY TRADING section of The Wall Street Journal, the following appeared under the heading OPTIONS:
Philadelphia Exchange

Puts
Swiss Franc

69.33
62,500 Swiss Francs-cents per unit
Vol.
Last
68 May
12
0.30
69 May
50
0.50

Which combination of the following statements are true?
(i)- The time values of the 68 May and 69 May put options are respectively .30 cents and .50 cents.
(ii)- The 68 May put option has a lower time value (price) than the 69 May put option.
(iii)- If everything else is kept constant, the spot price and the put premium are inversely related.
(iv)- The time values of the 68 May and 69 May put options are, respectively, 1.63 cents and 0.83 cents.
(v)- If everything else is kept constant, the strike price and the put premium are inversely related.

a) (i), (ii), and (iii)
b) (ii), (iii), and (iv)
c) (iii) and (iv)
d) ( iv) and (v)
Answer: a)
Rationale: Premium - Intrinsic Value = Time Value
68 May Put: 0.30 – Max[68 - 69.33, 0] = 0.30 cents
69 May Put: 0.50 – Max[69 - 69.33, 0] = 0.50 cents

Currency Futures Options

26 With currency futures options the underlying asset is
a) Foreign currency
b) A call or put option written on foreign currency
c) A futures contract on the foreign currency
d) None of the above
Answer: c)

27 Exercise of a currency futures option results in
a) A long futures position for the call buyer or put writer
b) A short futures position for the call buyer or put writer
c) A long futures position for the put buyer or call writer
d) A short futures position for the call buyer or put buyer
Answer: a)

28 A currency futures option amounts to a derivative on a derivative. Why would something like that exist?
a) For some assets, the futures contract can have lower transactions costs and greater liquidity than the underlying asset
b) Tax consequences matter as well, and for some users an option contract on a future is more tax efficient
c) Transactions costs and liquidity.
d) All of the above
Answer: d)

Basic Option-Pricing Relationships at Expiration

29 The current spot exchange rate is $1.25 = €1.00 and the three-month forward rate is $1.30 = €1.00. Consider a three-month American call option on €62,500. For this option to be considered at-the-money, the strike price must be:
a) $1.30 = €1.00
b) $1.25 = €1.00
c) $1.25 × (1+i$)3/12 = €1.00 × (1+i€)3/12
d) none of the above
Answer: b)

30 The current spot exchange rate is $1.25 = €1.00 and the three-month forward rate is $1.30 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.20 = €1.00. Immediate exercise of this option will generate a profit of
a) $6,125
b) $6,125/(1+i$)3/12
c) negative profit, so exercise would not occur
d) $3,125
Answer: d)
Rationale: with early exercise, you can pay $1.20 for something worth $1.25. So you make a nickel. Make a nickel 62,500 times and you’ve made $3,125.

31 The current spot exchange rate is $1.25 = €1.00 and the three-month forward rate is $1.30 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.20 = €1.00. If you pay an option premium of $5,000 to buy this call, at what exchange rate will you break-even?
a) $1.28 = €1.00
b) $1.32 = €1.00
c) $1.20 = €1.00
d) $1.38 = €1.00
Answer: a)
Rationale: A $5,000 option premium on €62,500 amounts to $0.08 per euro. With a strike price of $1.20 = €1.00 the exchange rate has to go to $1.28 = €1.00 for you to break even.

32 Consider the graph of a call option shown at right. The option is a three-month American call option on €62,500 with a strike price of $1.20 = €1.00 and an option premium of $3,125. What are the values of A, B, and C, respectively?
a) A = –$3,125 (or –$.05 depending on your scale); B = $1.20; C = $1.25
b) A = –€3,750 (or –€.06 depending on your scale); B = $1.20; C = $1.25
c) A = –$.05; B = $1.25; C = $1.30
d) none of the above
Answer: a)

33 Which of