Exam 10: Futures Arbitrage Strategies

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Use the following information to answer questions .On October 1,the one-month LIBOR rate is 4.50 percent and the two month LIBOR rate is 5.00 percent.The November Fed funds futures is quoted at 94.50.The contract size is $5,000,000. -All of the following are limitations to Fed funds futures arbitrage,except

(Multiple Choice)

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Question 41

The implied repo rate is similar to the

(Multiple Choice)

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Question 42

The wild card option exists because of the difference in the closing times of the spot and futures markets for Treasury bills.

(True/False)

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Question 43

Fed fund futures arbitrage is based on the assumption that LIBOR and Fed funds are perfect substitutes.

(True/False)

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Question 44

The opportunity to exercise the quality option will occur when one deliverable bond becomes more favorably priced than another.

(True/False)

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Question 45

The transaction in which a Treasury bond futures spread is combined with a Fed funds futures transaction is called a

(Multiple Choice)

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Question 46

The transaction designed to exploit mispricing in the relationship between futures and spot prices is called

(Multiple Choice)

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Question 47

The cheapest bond to deliver is the one that has the lowest spot price.

(True/False)

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Question 48

Showing 41 - 48 of 48

The implied repo rate is similar to the

The wild card option exists because of the difference in the closing times of the spot and futures markets for Treasury bills.

Fed fund futures arbitrage is based on the assumption that LIBOR and Fed funds are perfect substitutes.

The opportunity to exercise the quality option will occur when one deliverable bond becomes more favorably priced than another.

The transaction in which a Treasury bond futures spread is combined with a Fed funds futures transaction is called a

The transaction designed to exploit mispricing in the relationship between futures and spot prices is called

The cheapest bond to deliver is the one that has the lowest spot price.

Introduction

Structure of Options Markets

Principles of Option Pricing

Option Pricing Models: the Binomial Model

Option Pricing Models: the Black-Scholes-Merton Model

Basic Option Strategies

Advanced Option Strategies

The Structure of Forward and Futures Markets

Principles of Pricing Forwards, Futures, and Options on Futures

Forward and Futures Hedging, Spread, and Target Strategies

Swaps

Interest Rate Forwards and Options

Advanced Derivatives and Strategies

Financial Risk Management Techniques and Applications

Managing Risk in an Organization

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