Roll No.

391

Mast . DECEMBER, 2021

er of Business Administration (Full Time)- Examination
Third Semester
Equity ahd Commodity Derivatives

Time - 3 Hours] [Max. Marks: 60

Note: There are thre~ Sections (A,B,C) in the question paper containing respective marking
pattern, all sections are compulsory with inbuilt choice as the case may be.
' all questions, MM: 6)
Section A (Attempt

1. I which of the following you can have a Derivative Contract.

(a) Index (c) Commodity
Iii 'i9 (b) Stock (d) All of the above

2. An Option that provides the ri~t but not the obligation to buy the stated number of stock
at a Future date is ____.
(a) Call Option (c) Future
(b) Put Option (d) Forward

3. Bonds can be; (c) Fixed Tenure.

(a) Callable. (d) All of the above.
(b) Puttable.
4. You own a portfolio of various stock for long term but currently you are unsure of the
market The best possible action to safe guard your investments is :
(a) Buy more stocks (c) Sell Index Futures as a hedge
(b) Sell the Stocks (d) None of the above

5. Options can also be_ _ _ _.

(c) ATM
(a) 11M (d) All of the above
(b)OTM

6. Which of the following is Commodity Index in India;

(a) NIFTY 50 (c) NASDAQ
(b) SENSEX (d) MCX iCOMDEX

Section B (Attempt any three questions, each carry equal marks MM: 18)

1. Derivatives are important tools of Hedging. Discuss the statement with suitable example.

2. Discuss the scope and importance of Commodities Futures in India.

P.T.O.
 391
2
. e with a suitable example.
3. What is Butterfly Strategy? Explain the sam
. with suitable example.
1
4 - What is meant by Contango and Backwardation? Exp am
' h arry equal marks MM: 36)
Section C (Attempt any four questions, eac c
. th Rs 200 00 000 and NIFTY Future is trading
1. An investor holds a_diversified portfolio wor · ' .' 'ti for the investor
at 17800. Design a suitable Hedging Strategy and portfolio poSI on db 1 th
· t f arket5% above an e ow e
considering Beta of portfolio as 1.25 and movemen o m
present level.

2 Stock of Tata Steel is trading at Rs. 520/- and lot size is 50. The three months future are being
traded at Rs. 535/. If the Risk free returns are 9%, find out the fair value of Tata Steel futures.
Is there any arbitrage opportunity visible? If there is any Arbitrage opportunity calculate the
profit for 10 lots. ~, . .

3. Equity shares of ABC Ltd. are trading at Rs. 45 per share. A call option is available for 4
months with at a strike price of Rs. 45 at Rs. 6/-. Is the option is correctly priced if, Dividend
of Rs. 2 is expected in a time period of 2 months, Variance is 0.06, Risk Free rate is 6%.
Calculate payoff for both the traders.

4. An investor h oIds fiollowmg portfoIi·o since a long time;

Seaq-ity No. of Shares Price per Beta
Share (Rs.)
ACCLtd. 400 1200 0.7
TCSLtd. 200 3500 0.8
Tata Steel Ltd. 1000 680 1.6
HDFC Bank Ltd. 6000 1500 1.2
Tata Motors Ltd. 700 500 1.2
Expecting a market crash, wants to hedge the portfoli
NIFTY avai)able with an Exercise Price 17400 and Del;a 1:~g .
PUT Option on S&P 100
0 432
appropriate move with due calculations. · · Suggest the investor

5. A Forward Contract on 200 shares, currently trad ·

rate is 9%, calculate the contract price. mg at Rs. 112, due in 45 days. If risk free
Considering a dividend of Rs. 4 per share is to b 'd
. v alue. e pai 25 da b f
the change m ys e ore due date, determine