Primary
component in theoretical options pricing calculations
1. The
price of ABCD is $25. You establish the following position:
Short 1
ABCD 25 Call @ 2
If the
delta of the call is 0.50, what would be the theoretical price of the option if
ABCD increased by $1.00?
a. $1.50
b. $2.50
c. $3.00
d. $4.00
e. $4.50
2. Which
one of the following is a synthetic long put?
a. Long
stock, short put
b. Long
stock, short call
c. Long
stock, long put
d. Short
stock, long put
e. Short
stock, long call
3. You
establish the following position:
Short 1
ABCD 320 Put @ 6
If the
delta of the put is 0.50 and the gamma is 0.03, what would the new delta be if
ABCD decreases from 321 to 320?
a. 0.47
b. 0.50
c. 0.53
d. 0.56
e. 0.60
4. Which
of the following choices is a primary component in theoretical options pricing
calculations?
a. Volatility
b. Annual
interest rate
c. Stock
price
d. Days to
expiration
e. Strike
price
f. All of
the above
5. You
have established the following positions:
Long 500
ABC Nov 1240 Calls @ 5
Long 500
ABC Nov 1205 Puts @ 6
What is
the traditional margin requirement?
a.
$500,000
b.
$550,000
c.
$600,000
d.
$700,000
6. Which
one of the following choices measures the rate of decline in value of an option
due to time decay?
a. Delta
b. Gamma
c. Theta
d. Vega
7. With
everything being equal as time passes in options, which one of the following is
true?
a. In the
money options delta decrease and out of money options delta increase
b. In the
money options delta increase and out of money options delta increase
c. Both in
the money options delta decrease and out of money delta decrease
d. In the
money delta increase and out of money options delta decrease
8. Which
one of the following choices measures the change in price of an option for a
one point move in the underlying asset?
a. Delta
b. Gamma
c. Theta
d. Vega
9. To
hedge a short stock position in ABCD, you can do all of the following EXCEPT
what?
a. Buy at
the money ABCD calls to open
b. Buy in
the money ABCD calls to open
c. Sell
out of money ABCD puts to open
d. Sell
out of money ABCD calls to open
10. In
portfolio margin, equity options and stocks are tested with +/- 15% price
changes. If you buy $100,000 of ABCD stock, what is the portfolio margin
requirement?
a. $15,000
b. $25,000
c. $30,000
d. $50,000
11. You
opened several accounts with XYZ broker. Which of the following accounts is
under identical ownership as your individual portfolio margin account?
a. Your
Roth Individual Retirement Account
b. Your
Individual Margin Account
c. Your
Joint Account with Rights of Survivorship
d. Your
Corporate Account
e. Your
401(k) Account
12. You
have already been approved for covered call writing but must be re-approved for
which one of the following in order to participate in portfolio margining?
a.
Purchasing Straddles
b.
Purchasing Spreads
c.
Purchasing Options
d. Short-selling
e. Selling
Uncovered Options
13. All
LEAPS are what?
a.
Unlisted derivatives of equity indices
b. Options
on commodities and futures contracts
c. Issued
with longer life than standard options
d. Options
on Exchange Traded Funds
e. Options
on individual stocks
14. If you
write a call, hoping to benefit from the time decay of the options premium,
which one of the following measures would you use?
a. Theta,
expressed in percentage
b. Theta,
expressed in dollars
c. Delta,
expressed in percentage
d. Delta,
expressed in dollars
e. Gamma,
expressed in percentage
15. Which
one of the following choices measures how the delta of an option will change
relative to a one point move in the underlying asset?
a. Delta
b. Gamma
c. Theta
d. Vega
e. Rho
16. Which
one of the following is a synthetic long call?
a. Long
stock, short put
b. Long
stock, short call
c. Short
stock, long put
d. Long
stock, long put
e. Short
stock, long call
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