Exam 16: Futures Options

A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6%. What is the value of a six-month put option with a strike price of 37 cents?

Which of the following is true about a futures option and a spot option on the same underlying asset with an identical strike price and expiration date?

Which of the following is true?

One-year European call and put options on an asset are worth $3 and $4 respectively when the strike price is $20 and the one-year risk-free rate is 5%. What is the one-year futures price of the asset if there are no arbitrage opportunities? (Use put-call parity.)

Consider a European one-year call futures option and a European one-year put futures options when the futures price equals the strike price. Which of the following is true?

What is the cash settlement if a call futures option on 50 units of the underlying asset is exercised?

What is the value of a European call futures option where the futures price is 50, the strike price is 50, the risk-free rate is 5%, the volatility is 20% and the time to maturity is three months?

What is the growth rate of an index futures price in the risk-neutral world?

Which of the following is true when the futures price exceeds the spot price?

What is the cash settlement if a put futures option on 50 units of the underlying asset is exercised?

A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6%. What is the value of a six month call option with a strike price of 39 cents?

The risk-free rate is 5% and the dividend yield on the S&P 500 index is 2%. Which of the following is correct when a futures option on the index is being valued?

Which of the following is NOT true?

Which of the following describes a futures-style option?

Which of the following is acquired (in addition to a cash payoff) when the holder of a call futures exercises?

A futures price is currently 40 cents. It is expected to move up to 44 cents or down to 34 cents in the next six months. The risk-free interest rate is 6%. What is the probability of an up movement in a risk-neutral world?

Which of the following are true?

When Black's model used to value a European option on the spot price of an asset, which of the following is NOT true?

Which of the following is true for a September futures option?

Which of the following is acquired (in addition to a cash payoff) when the holder of a put futures exercises?