Lecture 9 - Futures and Options on Foreign Exchange
Lecture10(Chapter 07)
Futures and Options on Foreign Exchange
外汇期货与期权
1. A put option on $15,000 with a strike price of �10,000 is the same thing as a call option on �10,000 with a strike price of $15,000. TRUE
2. A CME contract on �125,000 with September delivery 交货 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.
3. Yesterday, you entered into a futures contract to buy �62,500 at $1.50 per �. Suppose the futures price closes today at $1.46. 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.
4. In reference to the futures market, a \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. both b) and c)
5. Comparing \A. they are both \
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. both b) and c)
Topic: Futures Contracts: Some Preliminaries
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? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in
any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.
Lecture 9 - Futures and Options on Foreign Exchange
6. Comparing \远期合约 and \期货合约 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. both a) and b) E. both a) and c)
7. 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
8. In the event of a default on one side of a futures trade,
A. the clearing member stands in for the defaulting party. 结算会员代表为违约方 B. the clearing member will seek restitution for the defaulting party.寻求赔偿
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. both a) and b)
9. Yesterday, you entered into a futures contract to buy �62,500 at $1.50 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? 题目的意思是，初始保证金余额１５００，维持保证金水平为５００，当汇率在哪个水平上，客户需要追加保证金？ ,A. $1.5160 per �. B. $1.208 per �. C. $1.1920 per �. D. $1.4840 per �.
10. Yesterday, you entered into a futures contract to sell �62,500 at $1.50 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. $1.5160 per �. B. $1.208 per �. C. $1.1920 per �. D. $1.1840 per �.
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? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in
any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.
Lecture 9 - Futures and Options on Foreign Exchange
11. Yesterday, you entered into a futures contract to buy �62,500 at $1.50/�. Your initial margin was $3,750 (= 0.04 ? �62,500 ? $1.50/� = 4 percent of the contract value in dollars). Your maintenance margin is $2,000 (meaning that your broker leaves you alone until your account balance falls to $2,000). At what settle price (use 4 decimal places) do you get a margin call?
A. $1.4720/� ６２５００×（１．５－？）＝３７５０－２０００ B. $1.5280/� C. $1.500/�
D. None of the above
12. Three days ago, you entered into a futures contract to sell �62,500 at $1.50 per �. Over the past three days the contract has settled at $1.50, $1.52, and $1.54. 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
13. 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 空头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 日元贬值，赚钱 A. $1,425. B. $2,000.
C. $2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００ D. $3,425.
14. 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 多头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 日元贬值，亏钱 A. $1,425. B. $1,675. C. $2,000. D. $3,425.
Topic: Currency Futures Markets
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? 2012 by McGraw-Hill Education. This is proprietary material solely for authorized instructor use. Not authorized for sale or distribution in
any manner. This document may not be copied, scanned, duplicated, forwarded, distributed, or posted on a website, in whole or part.