Futures Mechanics
What process ensures that gains and losses on futures are settled daily?
Marking to market
Which type of option can be exercised only at expiration?
European option
What is the name for rate of change in options?
Delta
Name of loans that have super superiority
DIP (debtor in possession) Loans
Amundsen
The price difference between spot and futures is called what?
Basis
If implied volatility rises but the stock doesn’t move, which positions gain value?
Long vega positions (long calls or puts)
Name of strategy that buys an in the money call and put at same strike
Long Straddle
Name of securities that may be impaired in chapter 11 bankruptcy but can potentially offer equity upside
Fulcrum securities
The reason there is a red seat painted among blue seats at Fenway Park
Longest HR hit by Ted Williams
What is the convergence principle in futures markets?
Futures price converges to spot price at expiration
What is the term for an option whose delta changes rapidly with small price movements?
High gamma option
If a stock has higher volatility, it's long calls will be more or less expensive
More expensive
The entity / person that liquidates and distributes assets in a Chapter 7 bankruptcy
Trustee
Japanese art of repairing broken pottery by mending the pieces with gold, silver, or platinum
Kintsugi
If interest rates rise, what typically happens to futures prices on Treasury bonds?
They fall (inverse relationship due to carry cost)
You’re short a call option. The underlying rallies sharply and IV spikes. What double impact hurts you?
Delta loss and vega loss (direction and volatility both negative)
Combines Bull and bear spreads with same center strike. Profits if price lands at middle strike.
Butterfly Spread
Type of analysis required by investors when investing in distressed debt and fulcrum securities
Waterfall analysis
Name of hedge fund we discussed that bought Lehman Brothers Bonds after collapse
Oaktree Capital
If a commodity’s futures price is trading above the fair value implied by the cost-of-carry model, what arbitrage strategy could lock in a risk-free profit?
Short the overpriced futures and buy the underlying spot asset, earning the carry (reverse cash-and-carry arbitrage).
The one missing factor in options pricing model: Spot Price, Strike Price, Time to Maturity, Volatility
Interest Rate
A trader expects low volatility. Which strategy benefits most from time decay?
Short straddle or short strangle
Name of company that needed to offer DIP Loans
Hertz
Color of Grotto in Capri that now has my wedding ring
Green Grotto