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Quantitative Finance

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Challenge Quizzes

Options: Level 1-2 Challenges
Options: Level 2-3 Challenges

Options: Level 2-3 Challenges

How is historical trading-day volatility measured?

Step 1:
A) Calculate the absolute change in closing prices as the data set.
B) Calculate the percentage change in closing prices as the data set.

Step 2:
C) Calculate the standard deviation of the data set.
D) Calculate the variance of the data set.

Step 3:
E) Multiply it by $\sqrt{ 260}$ .
F) Multiply it by $\sqrt{365}$ .

Image credit: Google Finance

A, D, E A, C, F B, C, F A, D, F B, D, E B, C, E B, D, F A, C, E

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by Calvin Lin

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When would you want to early exercise an American call?

When you have made money on it When the dividend payment outweighs the sum of the insurance and saved interest value When the call is ITM Never When the put on the same strike/expiry has delta 0

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by Calvin Lin

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The stock is trading at $20. The European call on the $10 strike expiring in 1 months is actively trading at $9. What trade do you want to execute?

Need to know the dividends Buy the call Sell the call Need to know the interest rates Need to know the counterparty

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by Calvin Lin

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The stock is currently trading at $30. What is the maximum price of the Put on the $20 strike, expiring in 1 year?

No maximum price exists $10 $30 $20 $50

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by Calvin Lin

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When would you early exercise an American put option on a stock that doesn't pay dividends?

When the time value of money outweighs the insurance value Never When the delta of the put is -1 When you have made money on the trade When the delta of the American call on the same strike is 0

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by Calvin Lin

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