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FUTURES AND OPTTONS

SEM: SEP - JAN 2018
TIME:1HOUR
Name Qmirul 6ln Hhm c
Student lD %taEt
Group fiwryu Tnz +'L 04t

QUESTION 1

Despite the slow recovery of

the Eurozone countries, the stock markets
performi ng reasonably well. in Asia have been
As a student who learned derivative
Hong Kong stock market, represented market, you have the opinion
by the Hang Seng lndex is
Malaysian stock market, represented expected to
by the FBM KLC! in the next few
ng data is available to you months.

October 20 1 I F KL
Oclober 20 1 8 HSIF 1950 Rrrl
1 9000
Exchange rate: H KD,1 00=MYR 40
The contract val ue for HSIF IS the
lndex times HKDSO
i) Describe the
you are to take
situation.
g, fflt l+q
of this
ii)

October 2O1T:

Dividend td
Risk free rate 5.5% (iv

Cash market 3.9%

Novem ber CPO futures RM2000
RM21 1 1
futures CE RM2225
e cost month tons RM25
I

Qurzl.
FUTURES AND OpTtoNs (FtN545l
s4U 630l
SEM: SEp _ JAN 2018
T|ME:1HOUR
i) Determine r,vhether the December
FCpO is fairly_priced
ii) Calculate the arbitrage profit. (2 marks)

(9 marks)
iv) Arbitrageurs take opportunities on price
anomalies. They are speculators
motivated to make profit on the who are
trading With regard to palm oil futures
'reverse cash and carry (FCPO), describe
arbitraoe' and why it is not possible
_r_.-)- for FCPO
ur*e,rp ri e n*#<6tq- C Ae < Fr)
tcPo crrl.t- 0Q. z * -n&*Y@' e-) yL?o @ 7f ,u rtb{ '.s.,""t y^zuvlJ, (4 marks)
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\5 C,onl.^"t /**15
5[.o"{ se-lf
rtti d su$leo:.
Nh?nyLi^.[,++..)(Total marks = 30 marks)
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END OF QUESTIONS
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