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What can we say about the gamma of the position?
The theta of a delta neutral options position is large and positive. What can we say about the gamma of the position?A . The gamma must be large and positiveB . The gamma must be large and negativeC . The gamma must be small and positiveD . The gamma must...
Which of the following statements is true:
Which of the following statements is true: I. The maximum value of the delta of a call option can be infinity II. The value of theta for a deep out of the money call approaches zero III. The vega for a put option is negative IV. For a at the...
What is the fair price for a bond paying annual coupons at 5% and maturing in 5 years.
What is the fair price for a bond paying annual coupons at 5% and maturing in 5 years. Assume par value of $100 and the yield curve is flat at 6%.A . $104.33B . $95.79C . $100.00D . $94.73View AnswerAnswer: B Explanation: The coupon payments can be considered an annuity...
What is the yield to maturity for a 5% annual coupon bond trading at par? The bond matures in 10 years.
What is the yield to maturity for a 5% annual coupon bond trading at par? The bond matures in 10 years.A . Less than 5%B . Equal to 5%C . Greater than 5%D . Cannot be determined based on the given informationView AnswerAnswer: B Explanation: The yield to maturity for...
Euro-dollar deposits refer to
Euro-dollar deposits refer toA . A deposit denominated in the ECUB . A US dollar deposit outside the USC . A Euro deposit convertible into dollars upon maturityD . A Euro deposit in the USAView AnswerAnswer: B Explanation: Eurodollar deposits refer to US dollar denominated deposits outside the US, for...
Which of the following options would be the most cost effective to use?
[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] A company that uses physical commodities as an input into its...
Using covered interest parity, calculate the 3 month CAD/USD forward rate if the spot CAD/USD rate is 1.1239 and the three month interest rates on CAD and USD are 0.75% and 0.4% annually respectively.
Using covered interest parity, calculate the 3 month CAD/USD forward rate if the spot CAD/USD rate is 1.1239 and the three month interest rates on CAD and USD are 0.75% and 0.4% annually respectively.A . 1.1249B . 1.1229C . 1.1278D . 1.1200View AnswerAnswer: A Explanation: Forward rates can be calculated...
What is the running yield on a 6% coupon bond selling at a clean price of $96?
What is the running yield on a 6% coupon bond selling at a clean price of $96?A . 5.70%B . 6.25%C . 6.30%D . 6.00%View AnswerAnswer: B Explanation: The 'running yield' refers to the coupon rate divided by the current price. In this case, it is 6/96 = 6.25%. Remember...
Which of the following statements are true:
Which of the following statements are true:A . Selling a call + Selling a put = Buying the stock + Bank depositB . Buying a call + Bank Deposit = Buying the stock + Selling a putC . Buying a call + Selling a put = Buying the stock +...
Futures initial margin requirements are
Futures initial margin requirements areA . determined based on the client's credit historyB . determined by the members based on the SPAN frameworkC . determined based on the length of the settlement periodD . determined by the exchangeView AnswerAnswer: D Explanation: Futures initial margins are determined by the exchange. SPAN...
