The sensitivity of delta to changes in implied volatility (∂Δ/∂σ = ∂Vega/∂S)

The rate of change of delta with respect to time

The sensitivity of gamma to changes in the underlying price

Second derivative of option price with respect to interest rates

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Free FRM Quantitative Analysis Practice Questions & Answers

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Question 151

Using Black-Scholes, the price of a European call option increases when:

Select an option first.

Question 152

The forward price of a non-dividend paying stock for delivery in T years is:

Select an option first.

Question 153

A long futures position profits when:

Select an option first.

Question 154

The delta of an at-the-money call option is approximately:

Select an option first.

Question 155

Theta of an option represents:

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Question 156

The Greeks for a put option: which of the following is true?

Select an option first.

Question 157

The put-call parity for European options requires that:

Select an option first.

Question 158

A repo (repurchase agreement) is effectively:

Select an option first.

Question 159

The payoff of a binary (digital) cash-or-nothing call option is:

Select an option first.

Question 160

The payoff of a down-and-out barrier call option is:

Select an option first.

Question 161

The binomial tree model for option pricing becomes the Black-Scholes model when:

Select an option first.

Question 162

A bear spread using put options involves:

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Question 163

The Black model (Black-76) is used to price:

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Question 164

Delta hedging requires dynamic rebalancing because:

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Question 165

Rho of a call option is positive because:

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Question 166

A butterfly spread using calls is constructed as:

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Question 167

A calendar spread (time spread) in options involves:

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Question 168

The payoff of a long forward at maturity for a buyer who agreed to buy at forward price F₀ is:

Select an option first.

Question 169

The key difference between a CDS and a bond purchase from a risk perspective is:

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Question 170

The value of a call option is higher when:

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Question 171

The convexity of a bond is always positive for a straight (option-free) bond because:

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Question 172

A knock-in barrier option:

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Question 173

The total P&L of a delta-hedged long option position over a short period is approximately:

Select an option first.

Question 174

The relationship between the price of a European call and a European put with the same strike and expiry (put-call parity) breaks down for:

Select an option first.

Question 175

Options on dividend-paying stocks are adjusted in the Black-Scholes model by:

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Question 176

A delta-hedged portfolio is gamma-neutral when:

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Question 177

The no-arbitrage condition for a currency forward rate is given by covered interest rate parity:

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Question 178

The gamma exposure of a delta-hedged short option position is:

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Question 179

The futures basis is defined as:

Select an option first.

Question 180

Vanna measures:

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Free FRM Quantitative Analysis Practice Questions & Answers

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