1 2 3 4 5 6 7 8 9 10

2 3 1 4 1 1 3 1 1 3

1) Only variable which is implied in option pric Risk Free Rate Volatility Strike Price None of the above.

2) If Infosys 3000 Put is trading @ Rs.90 and Selling Infosys Futures & 3000 Put & buying Buying Infosys Futures & 3000 Put & buying Insufficient data to confirm the arbitrage None of the above.

3) As per the concept of Volatility smile, which dcba abcd acbd bdca

4) What does N(d1) indicate in B&S Model? Hedge Ratio Volatility (A) & (B) both

5) BHEL August Future is trading at 235, BHE 3 5 8 Can not find with the given data

6) In B&S model N(d2) indicates___________ Probability that option would end up in the mo Volatility Risk free Rate None of the above

7) Delta approaches ___ as put option becom 0 1 -1

0.5

8) Delta for Nifty 5300 Call is 0.5 & Mr. A has A must buy 500 Nifty Futures A must sell 500 Nifty Futures A must buy 1000 Nifty Futures None of the above

9) Discounting rate used in option pricing will Risk free Rate Fixed Deposit Rate LIBOR None of the above

10) Stock Prices Follow ______ & Stock Retu Normal, Normal Normal, Lognormal Lognormal, Normal Lognormal, Lognormal.

e which is implied in option pricing is ________.

00 Put is trading @ Rs.90 and 3100 Call is trading @ Rs. 80 and Infosys future is trading @ Rs.3020 and present Value of Infosys 3000 strik Futures & 3000 Put & buying 3100 call Futures & 3000 Put & buying 3100 call a to confirm the arbitrage

oncept of Volatility smile, which of the rank these instruments in terms of their IVs ranging from highest to lowest. (Assume both spot & future

N(d1) indicate in B&S Model?

t Future is trading at 235, BHEL August 240 Call is trading at 5, the present value of 240 as per prevaling interest rate is 238,then as per Put

th the given data

el N(d2) indicates____________. option would end up in the money

ches ___ as put option becomes more & more in the money.

y 5300 Call is 0.5 & Mr. A has sold 1000 calls of 5300 strike then to make his portfolio delta neutral _____ 0 Nifty Futures 0 Nifty Futures 00 Nifty Futures

rate used in option pricing will always be equal to ______.

s Follow ______ & Stock Returns follow______ distribution.

present Value of Infosys 3000 strike is 2970 then you will take arbitrage by,

lowest. (Assume both spot & future to be at 5500 and There is one month to go for expiry) a. 5000 Put b.5500 Call c.5200 Put d.5800 Call

interest rate is 238,then as per Put Call Parity, August BHEL 240 put should trade at

500 Call c.5200 Put d.5800 Call