The gamma of an option is:

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The gamma of an option is:
A. The sensitivity of the option value to changes in volatility
B. The sensitivity of the option value to changes in the time to expiry
C. The sensitivity of the delta to changes in the value of the underlying
D. The sensitivity of the option value to changes in the price of the underlying

Answer : C


What is meant by “turn of the month”?
A. the last calendar day of the month
B. the last bank business day of the month
C. value last business day of the month against first business day of the next month
D. value first business day of the month against last business day of the same month

Answer : C


A forward-forward lender has an exposure to the risk of:
A. Higher interest rates
B. Lower interest rates
C. Flattening yield curve
D. Parallel shift downwards in the yield curve

Answer : A



You are quoted the following rates:

Spot GBP/USD 1.5295-00 -

Spot USD/CHF 0.9320-23 -
6M GBP/USD swap 16/12
6M USD/CHF swap 22/18
Where can you buy GBP against CHF 6-month outright?
A. 1.4206
B. 1.4215
C. 1.4217
D. 1.4225

Answer : D


If you are trading spot on an ATS (Automated Trading System) and see a price for

EUR/USD of -
1.3050-53. If you hit the button marked YOURS, what have you done?
A. Bought EUR at 1.3053
B. Bought USD at 1.3053
C. Sold EUR at 1.3050
D. Sold USDatl.3050


Answer : C