2022年CFA考试《CFA一级》练习题0115-9.pdf

2022年CFA考试《CFA一级》练习题

1、Ananalystdoesresearchaboutmoneynessofstockopti

ons.Withrespecttostockoptions,thepotentialfｏｒaninfinitelos

sexistsfｏｒaninvestｏｒwho:【单选题】

A.sellsaputoption.

B.buysaputoption.

C.sellsacalloption.

正确答案:C

答案解析:卖出一个看涨期权，从理论上来讲，当股票价格上升无

穷大时，该卖方的损失也会无穷大；而卖出一个看跌期权，因为股票价

格最低也就跌到零，所以该卖方的损失是有限的。对于看涨期权和看跌

期权的买方来讲，当不考虑期权成本时，不会发生亏损。

2、Aninvestｏｒpurchases10futurescontractspricedat$10

0each.Theinitialmarginis$20percontractａｎｄthemaint

enancemarginrequirementis$10percontract.Theinvestｏｒwi

llmostlikelyberequiredtopostvariationmarginiftheend-of-d

aypricesoverthenextthreedaysare:【单选题】

A.

1

B.

C.

正确答案:B

答案解析:“DerivativeMarketsａｎｄInstruments,”DonM.C

hance

2011ModularLevelI,Vol.6,pp55-59

StudySession17-70-d

2

Describepricelimitsａｎｄtheprocessofmarkingtomark

et,ａｎｄcalculateａｎｄinterpretthemarginbalance,given

thepreviousday’sbalanceａｎｄthechangeinthefuturesp

rice.

Biscorrect.$110ofvariationmarginisrequiredsincethe

$90marginbalanceafterDay3isbelowthe$100maintenance

margin.The$110variationmarginwillre-establishthe$200initi

almargin.

Thecalculationisbelow:

Day1activity:$260closingmarginbalanceresultsfrom$20

0initialmarginplus$60gain($6increaseX10contracts)

Day2activity:$180closingmarginbalanceresultsfrom$26

0openingmarginbalanceminus$80loss($8declineX10cont