UNIT 20 and 21 – DERIVATIVES AND COMMODITIES

SOLUTIONS
Q 1.
Fair future price = Spot price + cost to carry
30,000+ 300+ 150 + ( 30,450 * 10% * 3/12)
31211.25

Q 2.
Fair future price = Spot price + cost to carry
35000 + 1000+ 250 + ( 36250* 7%* 3/12)
36884

Q 3.

Fair future price = Spot price + cost to carry

250 + (250 * 9% * 3/12)
255.63

Q 4.

Fair future price = Spot price + cost to carry

4500+ ( 4500 * 12% * 2/12) = 4590

Q 5.
Fair future price = Spot price + cost to carry
228 + ( 228 * 16% * 2/12)
234.16

Q 6.
Initial margin = Avg daily absolute change in Value of contract + 3 SD
Initial margin= 10,000+ 3*2000= 16000

Day Closing Price Profit and loss account Margin Balance

05-02-2024 3296.5 0 16000
06-02-2024 3294.4 -105 15895
07-02-2024 3230.4 -3200 12695
08-02-2024 3212.3 -905 4210 16000 11790
09-02-2024 3267.5 2760 18760
12-02-2024 3263.8 -185 18575
13-02-2024 3292 1410 19985
14-02-2024 3309.3 865 20850
 15-02-2024 3257.8 -2575 18275
16-02-2024 3102.6 -7760 5485 16000 10515

Q 7. Call option – Buyers / Holders payoff

Exercise Price Spot Price Intrinsic V Call Premi Profit / (Loss)
100 96 0 -3 -3
100 97 0 -3 -3
100 98 0 -3 -3
100 99 0 -3 -3
100 100 0 -3 -3
100 101 1 -3 -2
100 102 2 -3 -1
100 103 3 -3 0
100 104 4 -3 1
100 105 5 -3 2

Q 8. Call option – Buyers / Holders payoff

Exercise Pr
Q 9. Call option – Sellers payoff
Exercise PrSpot Price Intrinsic V Call Premi Profit / (Loss)
100 96 0 3 3
100 97 0 3 3
100 98 0 3 3
100 99 0 3 3
100 100 0 3 3
100 101 -1 3 2
100 102 -2 3 1
100 103 -3 3 0
100 104 -4 3 -1
100 105 -5 3 -2

Q 10. Call option – Sellers payoff

Exercise Pr
790
790
790
790

Q 11. Put Option – Buyers Payoff

Exercise Pr
Q 12. Put option – Buyers Payoff

Exercise Pr
500
500
500
500

Q 13. Put Option – Sellers Payoff

Exercise Pr
100
100
100
100