Exam Feedback November 2019 Part 1 Exam Feedback

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Fisuca

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The answer to the options trading strategy should be "straddle", right?
I found the exam lengthy as well. I had to cut short/guess on a good number of questions. Even the answers were not matching in a few, like in the question pertaining to the option pricing using the Black-Scholes model...I wasted a good amount of time on them..sigh!
Yes, as strangle was the only vol-long strategy ...given the scenarios, nothing else made any sense, especially not the spreads
 

i.brahimtoor

New Member
Did anyone else have a lot of C and D as answers, especially in the first 50 questions? Very less A in the whole exam? I had the red booklet.
 

adeex18

New Member
yea, glad i'm not the only one. I had a decent amount of D's especially in the first 50 questions. I think I had the Red booklet as well, can't fully recall though.
 
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= (39.03)(0.58) − (40)−(0.09)(0.5) (0.4359) = $ 3.671 . this is the answer from Hull with dividends. did they want use to computer the present value of the dividends? or was it a trick question. either way. the exam is way way way too difficult
 

Fisuca

New Member
so i guess you would subtracted the dividend from the stock price? but did you need to compute present value too?
You either subtract the PV of the dividends from the Stock or you calculate the corresponding dividend yield q and discount the Stock with that before multiplying with N(d1)
 

Venkat k

New Member
Delta of the call option is given. Asked to find Delta of the short call option. Delta of the call option always 0 to 1.so Delta of the short option is n(d1) -1(put option) which is always -1to 0.. So the answer is. 68xxx-1 ie -. 32xxx.is it correct. I may be wrong.
 

yz1300

New Member
I don't remember it being cancelled, just remember it not being filled. It was placed the day before, after the close.

A Fill or Kill wouldn't need to be cancelled, it is just filled or killed (Cancelled) automatically.

This is one of the few parts of the exam where I have professional experience. I spent many years working on the trading floor, and I am sure that question described a limit order.
agree. it is a limit order
 

vasan_mnm

New Member
Does anyone remember the answer to the Monte Carlo no of simulations required and barbell convexity
Initally the mean of the sample was 8. 5000 simulations done and the now average mean is between 6 and 10. How many more simulations required to find the mean..something of this sort. Answers were 5000, 25000, 30000
 

randrema

New Member
Delta of the call option is given. Asked to find Delta of the short call option. Delta of the call option always 0 to 1.so Delta of the short option is n(d1) -1(put option) which is always -1to 0.. So the answer is. 68xxx-1 ie -. 32xxx.is it correct. I may be wrong.
I think the answer is -0.68. A short call is not equivalent to a long put. The sign of N(d1) has just to be reversed.
 

Victor93

New Member
X has 2 exposure with CCP, Y has 10 exposure with CCP, so initial margin will be based on: 12 exposure. I do not remember exactly, Am I correct?
 

Sriharsha

New Member
Initally the mean of the sample was 8. 5000 simulations done and the now average mean is between 6 and 10. How many more simulations required to find the mean..something of this sort. Answers were 5000, 25000, 30000
15000 was also one of the option..what is the answer for this?
 

Sixcarbs

Active Member
Yes. It was strangle only. Typo..

There was one question on conditional probability regarding bond defaults...Anyone remembered how it was to be done...?

It involved this formula if it's the one you are speaking about:

Cov(X,Y)= E(X*Y)-E(X)*E(Y), solving for E(X*Y)

Probability of both bonds defaulting given the probability of each bond defaulting individually, and the correlation between them.
 

Sriharsha

New Member
Does anyone remember the variation margin question (blue book) or answer, I remember that answer which I got was around 1lakh+ ?
 
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