Q 1: A stock is currently selling at Rs. 163. The put option at Rs. 165 strike price costs Rs.3.

What is the time value of the option Correct. Correct answer is: [C] : Rs. 1 Explanation : Premium= Time value+intrinsic value = 3=TV+(Strike Price-Spot price for put option) = 3=TV+(165-163)= 3=Tv+2= Tv=3-2=1 Q 2: 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 Correct. Correct answer is: [A] : SELL Rs. 600,000 of Nifty futures Explanation : Beta * Amount will give hedging Amount Q 3: Futures have a _______ payoff Correct. Correct answer is: [B] : Linear Explanation : because in futures loss & profit are unlimited Score: 3 / 3 Q 4: An index put option at a strike of Rs.4200 is selling at a premium of Rs.30. At what index level will it breakeven for the buyer of the option Correct. Correct answer is: [C] : Rs. 4170 Explanation : put option strike-premium is breakeven= 4200-30=4170 Q 5: The only way an investor can manage risks in the underlying cash market is by Correct. Correct answer is: [A] : Hedging in the futures market Explanation : Q 6: 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 _______ Correct. Correct answer is: [B] : 0.25

Explanation : 3 months/12= 1qtr/4qtr=0.25 Q 7: 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 Correct. Correct answer is: [B] : 2016.70 Explanation : 10/12=.8333% = 16.70 = 2000+16.7 = 2016.70 Q 8: If the annual risk free rate is 9%, then the 'r' used in the Black Scholes formula should be ______ Wrong. Correct answer is: [A] : 0.086 Explanation : ln or Log Normal of 1.09 = 0.086 Q 9: 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) Correct. Correct answer is: [B] : loss of Rs. 14,000 Explanation : sold at 396 and close at 410 so loss of 14= 14*100(lot size)*10 Lots = 14000 loss Score: 8 / 9 Q 10: An option contract which will not be exercised on the expiry date is ________. Correct. Correct answer is: [C] : an out-of-the-money option Explanation : Only In the Money & deep In The Money can be exercised

: Which Order is Price Condition order Wrong. Correct answer is: [D] : SL - Stop Loss Explanation : Q 2: Beta indicates Wrong. Correct answer is:

[B] : Volatility Explanation : Q 3: Mini NIFTY Futures & Options contract was introduced for trading on Correct. Correct answer is: [D] : 2008 Explanation : Score: 1 / 3 Q 4: ________ is the rate of change of the option's Delta with respect to the price of the underlying asset. Correct. Correct answer is: [D] : Gamma Explanation : Q 5: Corporate Actions for Bonus Issue = Bonus: Ratio - A:B; Adjustment factor: _____ Correct. Correct answer is: [B] : (A+B)/B Explanation : Q 6: ____________ has issued guidance notes on accounting of index futures contracts from the view point of parties who enter into such futures contracts as buyers or sellers Correct. Correct answer is: [A] : The Institute of Chartered Accountants of India (ICAI) Explanation : Q 7: If the annual risk free rate is 9%, then the r' used in the Black Scholes formula should be ______. Correct. Correct answer is: [A] : 0.086 Explanation : 1.09ln Score: 5 / 7 Q 8: If the annual risk free rate is 10%, then the r' used in the Black Scholes formula should be ______.

Wrong. Correct answer is: [D] : 0.0953 Explanation : 1.10ln Score: 5 / 8 Q 9: If the annual risk free rate is 11%, then the r' used in the Black Scholes formula should be ______. Wrong. Correct answer is: [B] : 0.1043 Explanation : 1.11ln Q 10: If the annual risk free rate is 12%, then the r' used in the Black Scholes formula should be ______. Wrong. Correct answer is: [B] : 0.1133 Explanation : 1.12ln