1. Swaps can be regarded as portfolios of ________
(a) Future Contracts
(b) Option Contracts
(c) Call Options
(d) Forward Contracts
2. A stock is currently selling at Rs. 165. The put option
at Rs. 163 strike price costs Rs.
3. What is the time value of the option?
(a) Rs. 3
(b) Rs. 2
(c) Rs. 1
(d) Rs. 1.50
3. LEAPS have a maturity of upto _________
(a) one year
(b) three years
(c) ten years
(d) three months
(e) I am not attempting the question
4. What is the outstanding position on which initial margin
will be levied if no proprietary
trading is done and the details of client trading are: one
client buys 500 units @ 1260.
The second client buys 900 units @Rs.1255 and sells 1000
units @Rs.1260?[2 Marks ]
(a) 1900 units
(b) 2400 units
(c) 500 units
(d) 600 units
5. A payer swaption is an option to pay ______ and receive
______.
(a) floating, fixed
(b) interest, interest
(c) fixed, floating
(d) options, futures
6. Forward contracts are ________ contracts.
(a) Multilateral
(b) Tri-lateral
(c) Future
(d) Bilateral
7. You are the owner of a 5 million portfolio with a beta
1.0. You would like to insure
your portfolio against a fall in the index of magnitude
higher than 10%. Spot Nifty
stands at 4000. Put options on the Nifty are available at
three strike prices. Which
strike will give you the insurance you want?
(a) 3,870
(b) 3,840
(c) 3,600
(d) None of the above
8. A receiver swaption is an option to receive ______ and
pay ______.
(a) fixed, floating
(b) floating, fixed
(c) interest, interest
(d) options, futures
9. The market impact cost on a trade of Rs. 4 million of the
S&P CNX Nifty works out to
be about 0.06%. This means that if S&P CNX Nifty is at
4000, a sell order of that value
will go through at a price of Rs. _______.
(a) 3997.60
(b) 3996
(c) 3,999.50
(d) 3,995.50
10. Ms. Shetty has sold 1000 calls on ABC Ltd. at a strike
price of Rs. 885 for a premium
of Rs.27 per call on April 1. The closing price of equity
shares of ABC Ltd. is Rs. 890 on
that day. If the call option is assigned against her on that
day, what is her net
obligation on April 01?
(a) Pay-out of Rs.22,300
(b) Pay-in of Rs.22,000
(c) Pay-in of Rs.25,000
(d) Pay-out of Rs.22,000
11. BANK Nifty is a derivative contract on NSE ____________.
True or False?
(a) True
(b) False
12. CNX IT is a derivatives contract on NSE. True or False?
(a) True
(b) False
13. Forward contracts on expiration have to settled by
__________.
(a) cash
(b) difference in price
(c) payment of margin
(d) delivery of the asset
14. On expiry the settlement price of a stock option
contract is the _________.
(a) Closing futures price
(b) Closing stock price
(c) Closing options price
(d) None of the above
15. In an index fund, trading in the stocks comprising the
fund, is required in response to
______.
(a) Favourable company specific news
(b) Poor company specific news
(c) Mergers
(d) Government policies
16. The market impact cost on a trade of Rs. 3 million of
the S&P CNX Nifty works out to
be about 0.04%. This means that if S&P CNX Nifty is at
4100, a sell order of that value
will go through at a price of Rs. _______.
(a) 4098.35
(b) 4096
(c) 4093
(d) 4099.50
17. The following is an example of an order with time
condition.
(a) Day order
(b) Stop Loss
(c) Limit
(d) All of the above
18. What is the outstanding position on which initial margin
will be levied if no proprietary
trading is d one and the details of client trading are: one
client buys 1000 units @
1260. The second client buys 1000 units @Rs.1255 and sells
1000 units @Rs.1260.?
(a) 2000 units
(b) 3000 units
(c) 1000 units
(d) 4000 units
19. The beta of TELCO is 0.8. A person has a long TELCO
position of Rs. 800,000 coupled
with a short Nifty position of Rs. 600,000. Which of the
following is TRUE?
(a) He is bearish on Nifty as well as on TELCO
(b) He has a complete hedge against fluctuations of Nifty
(c) He has a partial hedge against fluctuations of Nifty
(d) He is bullish on Nifty as well as on TELCO
20. Reliance Industries Ltd. does not have a Beta value.
True or False?
(a) True
(b) False
21. Nifty consists of securities having _____ market
capitalization stocks.
(a) large
(b) small
(c) medium
(d) large and small
22. The beta of ICICI Bank is 1.5. A person has a long
position of Rs. 400,000 of ICICI
Bank. Which of the following gives a complete hedge?.
(a) SELL Rs. 600,000 of Nifty futures
(b) SELL Rs. 650,000 of Nifty futures
(c) SELL Rs. 700,000 of Nifty futures
(d) None of the above
23. On 15th January, Raju bought a January Nifty futures
contract which cost him
Rs.334,500. For this he had to pay an initial margin of
Rs.31,520 to his broker. Each
Nifty futures contract is for delivery of 100 Nifties. On
25th January, the index closed
at 3360. How much profit/loss did he make?
(a) (-) 1,200
(b) (-) 1,500
(c) (+) 1,200
(d) (+) 1,500
24. Futures have a _______ payo ff.
(a) Non-linear
(b) Linear
(c) Vertical
(d) Horizontal
25. Mr. A buys a futures contract of M/s. XYZ Ltd. (Lot
Size: 1000) expiring on 29th Sep
for Rs. 300. The spot price of the share is Rs. 290. Does he
have to pay securities
transaction tax?
(a) Yes, only if he buys more than 1 contract
(b) Yes
(c) No, only if he sells of the contract immediately
(d) No
26. Ms. Shetty has sold 5000 calls on ABC Ltd. at a strike
price of Rs. 500 for a premium
of Rs.25 per call on April 1. The closing price of equity
shares of ABC Ltd. is Rs. 505 on
that day. If the call option is assigned against her on that
day, what is her net
obligation on April 01?
(a) Pay-out of Rs.1,22,300
(b) Pay-in of Rs.1,22,000
(c) Pay-in of Rs.1,25,000
(d) Pay-out of Rs.1,00,000
27. An index put option at a strike of Rs. 4200 is selling
at a premium of Rs. 30. At what
index level will it break even for the buyer of the option?
(a) Rs. 4175
(b) Rs. 4176
(c) Rs. 4170
(d) Rs. 4162
28. Which of the following is the duty of the trading
member?
(a) Giving tips to clients to buy and sell
(b) Funding losses of the clients
(c) Collection of adequate margins from the client
(d) All of the above
29. The only way an investor can manage risks in the
underlying cash market is by?
(a) Hedging in the futures market
(b) Speculating in the futures market
(c) Speculating in the options market
(d) All of the above
30. Nifty is a ________ index
(a) well diversified
(b) poorly diversified
(c) balanced
(d) volatile
31. You have bought a stock on the exchange. To eliminate
the risk arisin g out of the
stock price, you should _____.
(a) buy index futures
(b) buy stock futures
(c) sell the stock futures
(d) none of the above
32. On 1st January, a three month call option on the Nifty
with a strike of 4280 is
available for trading. The `T’ that is used in the Black
Scholes formula should be
_______.
(a) 3
(b) 0.25
(c) 90
(d) None of the above
33. The spot price of ABC Ltd. is Rs. 2000 and the cost of
financing is 10%. What is the
fair price of a one month futures contract on ABC Ltd.?
(a) 2015
(b) 2016.75
(c) 2018.75
(d) 2019
34. Cyrus is short 800 WIPRO July Puts at strike Rs. 1520
for a premium of Rs. 43 each on
July 22. On July 25, (the expiration day of the contract),
the spot price of WIPRO
closes at Rs.1553, while the July futures on WIPRO close at
1655. Does Cyrus have an
obligation to the Clearing Corporation on his positions, and
how much, if any?
(a) Yes. Rs.19,800 pay-out
(b) No pay in or pay-out on expiration of contract
(c) Yes. Rs.18,900 pay-out
(d) Yes. Rs.19,800 pay-in
35. On 15th October, Arvind bought a December Nifty futures
contract which cost him Rs.
325,600. For this he had to pay an initial margin of Rs.
30,100 to his broker. Each
Nifty futures contract is for delivery of 100 Nifties. On
27th December, the index
closed at 3280. How much profit/loss did he make?
(a) (+) 1400
(b) (-) 2400
(c) (+) 2400
(d) (-) 1400
36. Assume that the base value of a market capitalization
weighted index were 1000 and
the base market capitalisation were Rs.70,000 crore. If the
current market
capitalisation is Rs.140,000 crore, the index is at Rs.
____.
(a) 2,110
(b) 2,350
(c) 2,250
(d) 2,000
37. On 1st January, a one month call option on the Nifty
with a strike of 4250 is available
for trading. The `T’ that is used in the Black Scholes
formula should be _______.
(a) 2
(b) 0.08
(c) 20
(d) None of the above
38. If the annual risk free rate is 9%, then the ‘r' used in
the Black Scholes formula should
be ______.
(a) 0.086
(b) 0.099
(c) 1.1
(d) None of the above
39. The beta of ACC is 1.5. A person has a long TELCO
position of Rs. 900,000 coupled
with a short nifty position of Rs. 800,000. Which of the
following is TRUE?
(a) He is bearish on Nifty as well as on ACC
(b) He has a complete hedge against fluctuations of Nifty
(c) He has a partial hedge against fluctuations of Nifty
(d) He is bullish on Nifty as well as on ACC
40. If the annual risk free rate is 8%, then the ‘r' used in
the Black Scholes formula should
be ______.
(a) 0.076
(b) 0.096
(c) 1.1
(d) None of the above
41. Hedging with stock futures means ___________.
(a) shorting stocks
(b) shorting index futures
(c) shorting stock futures
(d) long index futures
42. Which of the following is the duty of the trading
member?
(a) Employing large numbers of research analysts
(b) Executing his own orders prior to client orders
(c) Bringing risk factors to the knowledge of client
(d) None of the above
43. On expiry, the settlement price of a Reliance Industries
Ltd. futures contract is
_______.
(a) opening price of Reliance Industries Ltd.
(b) closing price of Reliance Industries Ltd.
(c) closing price of Reliance Industries Ltd. futures contract
(d) Last traded price of Reliance Industries Ltd.
44. On 1st January, a two month call option on the Nifty
with a strike of 4250 is available
for trading. The `T’ that is used in the Black Scholes
formula should be _______.
(a) 3
(b) 0.16
(c) 90
(d) None of the above
45. The NEAT F&O trading system _____________.
(a) allows spread trades
(b) allows combination trades
(c) allows only a single order placement at a time
(d) (a) and (b) above
46. Santosh is bearish about ABC Ltd. and sells 10 one-month
ABC Ltd. futures contracts
at Rs.3,96,000. On the last Thursday of the month, ABC Ltd.
closes at Rs.410. He
makes a _________. (assume one lot = 100)
(a) profit of Rs. 14,000
(b) loss of Rs. 14,000
(c) profit of Rs. 28,000
(d) loss of Rs. 28,000
47. To be eligible for trading a broker must be _________.
(a) SEBI registered
(b) highly capitalised
(c) a member of the Association of Trading members
(d) None of the above
48. You are the owner of a 4 million portfolio with a beta
1.0. You would like to insure
your portfolio against a fall in the index of magnitude
higher than 12%. Spot Nifty
stands at 4200. Put options on the Nifty are available at
three strike prices. Which
strike will give you the insurance you want?
(a) 3,870
(b) 3,840
(c) 3,696
(d) None of the above
49. A stock is currently selling at Rs. 50. The call option
to buy the stock at Rs.45 costs
Rs.9. What is the time value of the option?
(a) Rs. 9
(b) Rs. 7
(c) Rs. 4
(d) Rs. 2
50. An option contract which will not be exercised on the
expiry date is ________.
(a) an in-the-money option
(b) a deep in-the-money
(c) an out-of-the-money option
(d) None of the above
51. The theoretical futures price is based on the ________.
(a) strike price
(b) underlying spot price
(c) the price at which a futures contract trades in the
market
(d) the price set by the exchange
52. On 1st January, a two month call option on the Nifty
with a strike of 4000 is available
for trading. The `T’ that is used in the Black Scholes
formula should be _______.
(a) 2
(b) 0.16
(c) 20
(d) None of the above
53. Stock options on HDFC Bank Ltd. can be exercised
___________.
(a) any time on or before maturity
(b) upon maturity
(c) any time upto maturity
(d) on a date pre-specified by the trading member
54. Ms. Shetty has sold 1400 calls on HLL at a strike price
of Rs.297 for a premium of
Rs.11 per call on April 1. The closing price of equity
shares of HLL is Rs. 300 on that
day. If the call option is assigned against her on that day,
what is her net obligation on
April 01.
(a) Pay-out of Rs.12,300
(b) Pay-in of Rs.12,000
(c) Pay-in of Rs.11,000
(d) Pay-out of Rs.11,200
55. _____________is allowed to clear trades of themselves
but not of others.
(a) Trading member - clearing member
(b) Trading members are not allowed to clear their own
trades
(c) professional clearing member
(d) self clearing member
56. Index Funds use index futures to reduce _________
(a) tracking error
(b) expenses
(c) time to invest in the markets
(d) All of the above
57. Weekly options trading commenced on NSE in _______.
(a) 02-Jun-2005
(b) 04-Jul-2005
(c) NSE does not trade in Weekly options
(d) 04-Jun-2005
58. The market impact cost on a trade of Rs. 5 million of
the S&P CNX Nifty works out to
be about 0.05%. This means that if S&P CNX Nifty is at
4200, a buy order of that
value will go through at a price of Rs. _______.
(a) 4202.10
(b) 4200
(c) 4210
(d) 4211
59. What is the outstanding position on which initial margin
will be levied if no proprietary
trading is done and the details of client trading are: one
client buys 2000 units @
1260. The second client buys 2000 units @Rs.1255 and sells
1000 units @Rs.1260.?
(a) 4000 units
(b) 5000 units
(c) 3000 units
(d) None of the above
60. In the F&O segment of NSEIL, obligations of client's
positions are calculated on a
________ basis.
(a) cumulative
(b) gross
(c) net
(d) portfolio
ANSWERS: All right answers are bold.
