I was 5151 and the choices were: A 46,300 B 53,700 C 153,700 I didn’t calculate the derivative positions but knew holding the gold was 100,000. I surmised from the answer choices (100,000 - 53,700, 53,700, or 100,000 + 53,700) that the call was 53,700, which is why I chose A.
we might get different paper, in my case, it is vol increase. as I remember. by the way, are the questions all different, or only some selected questions are different? I assume the one sit next to me (on my left and right) will get the same exam paper, and I will get different one. how the paper graded if answers are all different. as when proctor collect the paper, they mixed them all together… bannisja Wrote: ------------------------------------------------------- > i think they gave the delta of like .539 or > something. it was a 100k gain combined with a > 53,900 loss on the hedge, so answer was 47,100 or > 43,600 or whatever that one was. i messed this > one up. > > 2nd question asked if vol decreases not increases. > hence the gain- you were short the call. > > derivs is one area i think i did pretty well, > either 9 or 10/12 i think.
I also had vol increase. Call price goes up…he loses. Unless of course I misread the question which is basically a coin flip at this point.
yeah… something similar, it is A. rstewart Wrote: ------------------------------------------------------- > 5 - (.539)(5) = 2.305 x 20000 = 46,100
HydrogenRainbow Wrote: ------------------------------------------------------- > I cant exactly remember the question I got (my > paper is 6161 so there are differences), but I got > one which said something like “what happens to the > value of the position consisting of both inventory > and the options when there is a sudden decrease in > gold price”. > > my answer was that the overall portfolio value > will drop cos the drop in price of inventory will > be greater than the increase in short ooption > value as delta for the option is <1. waht do u all > think? I had the same logic. My answer was C. it is postively affeced if the gold price decrease
valuecreator Wrote: ------------------------------------------------------- > HydrogenRainbow Wrote: > -------------------------------------------------- > ----- > > I cant exactly remember the question I got (my > > paper is 6161 so there are differences), but I > got > > one which said something like “what happens to > the > > value of the position consisting of both > inventory > > and the options when there is a sudden decrease > in > > gold price”. > > > > my answer was that the overall portfolio value > > will drop cos the drop in price of inventory > will > > be greater than the increase in short ooption > > value as delta for the option is <1. waht do u > all > > think? > > I had the same logic. My answer was C. it is > postively affeced if the gold price decrease u mean that there is a positive relationship between gold price and the portfolio value you mean. i.e. your answer is also that it will be adversely affected. is the corresponding option c? i am not sure though
the question i got was from 6161, short call option and long asset… price went up from 1000 to 1005, delta was something like 0.535… there fore shorting the 20000 option cost 53500, asset price went up 100000. So a gain of 46500. I did spend some time on this question because i thought delta was calculated by 1% change of underlying’s value (just like how duration works), not 1.... so i couldn't find the answer until i treated as per value…
tsttse Wrote: ------------------------------------------------------- > the question i got was from 6161, short call > option and long asset… > > price went up from 1000 to 1005, delta was > something like 0.535… > > there fore shorting the 20000 option cost 53500, > asset price went up 100000. So a gain of 46500. > > I did spend some time on this question because i > thought delta was calculated by 1% change of > underlying’s value (just like how duration works), > not 1.... so i couldn't find the answer until i \> treated as per value… think you nailed that. i remember that question too, although i remember the question before the one on the gold price going to 1005 is that what happens to the portfolio value should the price of gold drop drastically… i hope i didnt read it wrongly though cos i was dead tired by then
I put ~20,000 CLT2 Wrote: ------------------------------------------------------- > How about the 6 X 12 at expiration? > > > 10,000 > > 20,000 > > or 41,000
if price drops drastically, overall value also drops
I think this was a very poorly worded vignette. I got bogged down in the wording of the question on the Greeks and ended up putting no gain/change for both. My thoughts were that if you sell calls, you collect an immediate premium. If I sell a call and collect the premium, then I have hard cash which is unaffected by the value of calls in the market (which would, indeed changed with the change of theta and vega). Seems to me that your only loss is an economic, not financial loss. I’m praying that they throw these out lol. Otherwise -2 for me.
tomsimons, if you sold a call and the price went up then you would have a liability, therefore your balance sheet is affected by the calls!