"Derivative"exercise:Derivatives market

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Questions 1:

In an efficient market, it is more likely that fundamental value will be reflected in the:

A、 underlying spot market before the derivative market.

B 、derivatives market and the underlying spot market at the same time.

C 、derivatives market before the underlying spot market.

Questions 2:

If the implied volatility for options on a broad-based equity market index goes up, then it is most likely that:

A 、the broad-based equity market index has gone up in value.

B、 the general level of market uncertainty has gone up.

C、 market interest rates have gone up

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. In an efficient market, the derivatives market is more likely to reflect fundamental value, even if only for a short period, before the underlying spot market because derivatives contracts require less capital, have lower transaction costs, and are easier to sell short.

A is incorrect. In an efficient market, the derivatives market (not the underlying spot market) is more likely to reflect fundamental value because derivatives contracts require less capital, have lower transaction costs, and are easier to sell short.

B is incorrect. In an efficient market, the derivatives market is more likely to reflect fundamental value before the underlying spot market because derivatives contracts require less capital, have lower transaction costs, and are easier to sell short.

【Answer to question 2】B

【analysis】

B is correct. One benefit of derivatives markets is information discovery. Implied volatility reveals information about the risk of the underlying. Increases in implied volatility are an implication of increased market uncertainty.

A is incorrect. Implied volatility does not provide information about the level of the equity market.

C is incorrect. Implied volatility does not provide information about the level of market interest rates.

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