Quiz #2

1. Dollar-Yen has a major resistance at 119.45 and a major support at 113.20. Currently the Yen is trading at 116.00. Your client has long one year USD/JPY forward position at 115.00. You would advise him to put a stop loss order at:

1. 112.80
2. 120.25
3. 114.00
4. 118.75;

2. Dollar-Yen SPOT is trading at 120.00. The strike price of an at the money (ATM) USD/JPY call will be:

1. 115
2. 122
3. 120
4. 115

3. Dollar-Yen SPOT is trading at 120. A dealer quotes the price of a six month European style ATM USD/JPY (SPOT) call at 3.412% (as a percentage of the spot). This means the implied volatility of the Dollar-Yen call is:

1. 12%
2. 13%
3. 14%
4. 15%

4. INR SPOT is currently trading at 41.00. A dealer wants to price a 3 month European style Dollar-Rupee (SPOT) call with a strike of 40.00 and an implied volatility of 10%. If he uses the 3 month Rupee rate at 7% and 3 month Dollar rate at 5% then the value of the call would be around:

1. 1.65%
2. 2.95%
3. 3.98%
4. 4.87%

5. USD/CHF is trading at 1.2500. One year rate in Swiss Francs is 3% and in US Dollars is 5%. The price of European style 1.3000 strike call on USD/CHF is 0.0224 CHF per USD. The price of a European style one year put on USD/CHF with the same strike price would roughly be:

1. 0.0950 CHF per USD
2. 0.0867 CHF per USD
3. 0.0745 CHF per USD
4. 0.0602 CHF per USD

6. A dealer makes a two way quote for the USD/CHF (SPOT) at 1.4500/10. The quote on forward points for 6 month Swiss Francs is 120/123. The 3 month forward rate would be:

1. 1.4600/10
2. 1.4620/33
3. 1.4380/87
4. 1.4394/00

7. A binary call option has:

1. a payoff of one if the spot finishes in the money;
2. a payoff of one if the spot finishes out of the money;
3. has the same payoff as a knock-out call option;
4. None of the above;

Answers:

1(a)
2(c)
3(d)
4(d)
5(a)
6(b)
7(a)

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