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中文题目A long futures account is currently margined at balance 6200 with current settlement 102, maintenance margin 5800, and multiplier 100. What is the lowest next settlement price that still avoids a margin call?
打开 →A short futures account is currently margined at balance 7100 with current settlement 75, maintenance margin 6500, and multiplier 80. What is the highest next settlement price that still avoids a margin call?
打开 →A desk hedges 6,000 spot units with 30 futures contracts of size 100. Spot volatility is 18% and spot-futures correlation is 0.75. If 30 contracts is exactly the minimum-variance hedge count, what futures volatility is implied?
打开 →A cash equity book has beta 0.60 to the market. The desk can short index futures with beta 1.00 per unit notional. What short futures notional, as a fraction of NAV, is needed to bring the portfolio beta down to 0.15?
打开 →Spot is 100 and the cash basis $S-F$ is -4. What futures price does that imply?
打开 →Spot is 80 and the cash basis $S-F$ is 3. What futures price does that imply?
打开 →Spot is 60 and the cash basis $S-F$ is -1.5. What futures price does that imply?
打开 →A futures contract trades at 104, and the cash basis $S-F$ is observed to be -3. What is spot?
打开 →A futures contract trades at 76, and the cash basis $S-F$ is observed to be 4. What is spot?
打开 →A futures contract trades at 52.8, and the cash basis $S-F$ is observed to be -0.8. What is spot?
打开 →A futures contract trades at 123, and the cash basis $S-F$ is observed to be 2.5. What is spot?
打开 →A futures contract trades at 92, and the cash basis $S-F$ is observed to be -1.2. What is spot?
打开 →Why can a cash-futures hedge still leave risk even if the futures notional matches the cash position perfectly?
打开 →Why does adding a maintenance margin make liquidity needs path dependent even though total futures PnL still telescopes?
打开 →Why can the simple forward-pricing formula be only an approximation for futures rather than an exact identity?
打开 →A PM asks for the next-quarter expected return of an index, while a trader asks for the fair value of a future on that same index. How should the measures differ?
打开 →A cash position is hedged one-for-one with futures. During the holding window the basis changes by 1.5. What hedge slippage does that basis move create for a short-cash/long-futures hedge?
打开 →A cash position is hedged one-for-one with futures. During the holding window the basis changes by -2.0. What hedge slippage does that basis move create for a short-cash/long-futures hedge?
打开 →A desk uses 36 futures contracts of size 1000 to hedge a spot exposure of 50000 units. Spot volatility is 24% and futures volatility is 30%. What correlation would make this contract count exactly minimum-variance optimal?
打开 →A desk wants to hedge 4000 spot units with 25 futures contracts of size 200. Spot volatility is 15% and correlation is 0.8. What futures volatility would make that contract count minimum-variance optimal?
打开 →A desk hedges a spot exposure of 12,000 units with 40 futures contracts. The spot volatility is 25%, the futures volatility is 20%, and the spot-futures correlation is 0.64. If the desk is using the minimum-variance hedge ratio, what contract size must each futures contract repre
打开 →A long futures account has initial margin 7000, maintenance margin 5600, contract multiplier 200, and settlements [100, 95, 92, 95]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest, how mu
打开 →A short futures account has initial margin 6500, maintenance margin 5000, contract multiplier 220, and settlements [75, 79, 82, 80]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest, how mu
打开 →A long futures account has initial margin 5000, maintenance margin 4300, contract multiplier 60, and settlements [210, 205, 198, 201, 194]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest,
打开 →A short futures account has initial margin 9000, maintenance margin 7800, contract multiplier 200, and settlements [50, 54, 58, 57, 60]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest, ho
打开 →A desk says a basis trade is market neutral, so margin calls on the futures leg should not matter. What is wrong with that statement?
打开 →Spot is 100 and the fair forward/futures price for maturity T=1 is 104 with no income. What annualized implied repo rate does this embed under annual compounding?
打开 →Spot is 80 and the fair forward/futures price for maturity T=0.5 is 82.4 with no income. What annualized implied repo rate does this embed under annual compounding?
打开 →Spot is 120 and the fair forward/futures price for maturity T=1.5 is 130 with no income. What annualized implied repo rate does this embed under annual compounding?
打开 →A long futures account starts with initial margin 6000, multiplier 50, and settlements [100, 104, 101, 106]. Maintenance never binds on this path. Treasury sweeps out any end-of-day balance above the initial margin, leaving exactly the initial margin in the account after each clo
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