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UNIT 20 and 21 - Solution

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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Hemant bhanawat
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29 views4 pages

UNIT 20 and 21 - Solution

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.

Uploaded by

Hemant bhanawat
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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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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