16 A4 1 7 42 A D 89 38 4

3 3 7 4 B
63 A46 613 477 425 5A4 0D6 6893 3384 44B 09F
A4 13 47 42 A4 0D 89 38 4B 09 9A
3A 61 4 74 5A 0 68 33 44 0 F9 1
46 3 77 25 4 D6 93 84 B 9F A 63
46 134 4774 425AA40 0D6 893 384 4B0 09F 9A1 163AA46
1 8 3 4 9
61 347 7742 25A 40DD68 933 844 B09 9F9 A16 63A 461 1347
34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74
13 77 25 4 D6 9 38 4B 9F A 63 4 13 77 25
4 0 3 4
34 774 425AA40 D68 893 384 4B0 09F9 9A1 163AA46 6134 4774 425AA40
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6
77 425 A4 0D6 893 38 44B 09F 9A 163 A4 613 477 425 A4 0D6 89
4 0 4 6 0 3

76395
9
8
7
6
5
4
3
2
1
74 25AA40 D68 8933 384 4B0 09F9 9A1 163AA46 134 4774 425AA40 D68 893 384

10
25 40 D6 93 84 4B 9F A 63 4 13 77 25 4 D6 93 38 4B

Q.1 (A)
25 A40 D6 893 384 4B 09F 9A 163 A4 613 477 425 A4 0D6 893 38 44B 09F
A 0 1 6 4 0 4
5A 40DD68 8933 3844 4B0 9F9 9A1 63AA46 134 774 425AA40 D68 8933 384 4B0 09F9 9A1
9 6 1 7 2 D
40 68 93 84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 4

9
8
7
6
5
4
3
2
1
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4

10
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77

contract.
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A
F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40

VaR
A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6

ICEX
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89

Lot size
A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33

Hedgers
European option
61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844

& Scholes model

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0

Column A
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F

Arbitrageurs
Right to Buy
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9

Perfect hedge
3) Use simple calculator

5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1

Option expires
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63
position in spot market.
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4

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Forward Contract
QP
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77

Time value of option

2) All question carry 15 marks.

4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A

(B) Match the Column (Any 07) :

F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40
A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6
ke

j
i
f
e
c
a

h
g
d
b
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89

that under the delta normal method.

A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33

and a short position in futures market

61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844
34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9

Page 1 of 2
5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1
nd

OR
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63
( 2½ Hours )

D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61

(D) Discuss the Participants in commodity market?

33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77
ra

Column B
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42

Call Option

Q.2 (A) What is derivative contract? What are its elements?

09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A

Derivatives are mostly primary market instruments.

Maturity date
F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40

intrinsic value
Riskless profit

Q.2 (C) Explain the structure of commodities market in India.

A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6

163A4613477425A40D68933844B09F9A
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89
A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33
.co

Risk Management
Eliminates the risk
A bearish speculator will enter into a long future contract.

61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844

Note : 1) All Questions are compulsory subject to internal choice

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0
State weather the following statement are True or False.

77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9
m

over the counter market

5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63

Public private partnership

D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4

(B) What are the leading commodity exchanges in India & in abroad?
A person buying a futures contract is said to hold a short position.
Long futures payoffs are directly related to underlying asset price.

89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61

33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A measure of the risk of investment
Premium for an American option will generally be lower as compared to

F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40
A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6
Paper / Subject Code: 46006 / Finance:Commodity & Derivatives Market

A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89
61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68

number of units of assets to be delivered

An option premium is the income received by an investor who holds the option

Difference between option premium and

Speculation in futures market involves higher risk as compared to holding same

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93
Binomial model of option valuation is much more flexible as compared to Black

The VAR obtained under the historical-simulation method should be the same as

77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33
Cash and carry arbitrage refers to a short position in the cash or underlying market

5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 8
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44

(07)
(08)
(07)
(08)
(07)
(08)
( Total Marks : 75 )

84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 0
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09
F9 16 3A 61 47 74 5A 0D 68 33 44 B0
A1 3A 46 34 74 25 40 6 93 84 B 9F
63 46 13 77 25 A4 D6 893 384 4B 09F
A4 13 47 42 A4 0D 89 38 4B 09 9
61 47 742 5A 0D 68 33 44 09 F9
3 7 5 4 9 8 B A
 16 A4 1 7 42 A D 89 38 4
3 3 7 4 B
63 A46 613 477 425 5A4 0D6 6893 3384 44B 09F
A4 13 47 42 A4 0D 89 38 4B 09 9A
3A 61 4 74 5A 0 68 33 44 0 F9 1
46 3 77 25 4 D6 93 84 B 9F A 63
46 134 4774 425AA40 0D6 893 384 4B0 09F 9A1 163AA46
1 8 3 4 9
61 347 7742 25A 40DD68 933 844 B09 9F9 A16 63A 461 1347
34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74
13 77 25 4 D6 9 38 4B 9F A 63 4 13 77 25
4 0 3 4
34 774 425AA40 D68 893 384 4B0 09F9 9A1 163AA46 6134 4774 425AA40
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6
77 425 A4 0D6 893 38 44B 09F 9A 163 A4 613 477 425 A4 0D6 89
4 0 4 6 0 3

76395
5
4
3
2
1
4
3
2
1
74 25AA40 D68 8933 384 4B0 09F9 9A1 163AA46 134 4774 425AA40 D68 893 384
25 40 D6 93 84 4B 9F A 63 4 13 77 25 4 D6 93 38 4B

Q.3 (B)

Q.5 (C)
Q.3 (A)

25 A40 D6 893 384 4B 09F 9A 163 A4 613 477 425 A4 0D6 893 38 44B 09F
A 0 1 6 4 0 4
5A 40DD68 8933 3844 4B0 9F9 9A1 63AA46 134 774 425AA40 D68 8933 384 4B0 09F9 9A1
9 6 1 7 2 D
40 68 93 84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 4
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
Basis
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42

Contango
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A
F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40

transaction:
Call Option
Expiry Date

A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89
A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33

Types of Margin
61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844

Imperfect Hedge.
Market to Market

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9
5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1

(B) Explain SPAN Margin

40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63

Arbitrage using Futures

D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4

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QP
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A
F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40

Reverse Cash & Carry Arbitrage

A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89
ke

settlement price was Rs. 1,050.

A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33
61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844
Explain the following Terminologies:

Q.4 (A) Distinguish between Future & Option

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9

Page 2 of 2
5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1
nd
Explain Cash & Carry Arbitrage in detail?

OR
OR
OR

Also draw the payoff diagram for the same.

40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77
ra

Write short notes on any three of the following :

4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A
F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40

_____________________________
A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6

163A4613477425A40D68933844B09F9A
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6 89

Also draw pay off diagrams for the respective positions.

A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89 33
.co
61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68 33 844

Calculate the profit/ loss made if the contract size was 300.
34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93 84 B0 m
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89 38 4B 9F
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33 44 09 9
5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 84 B0 F9 A1
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 4B 9F A1 63
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38 4B 09 9A 63 A4
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44B 09 F9A 16 A4 61
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44 0 F9 1 3A 61 34
84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B 9F A1 63 46 34 77

Q.5 (A) What are the various orders that can be placed in derivatives markets?
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 09 9A 63 A4 13 77 42
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09 F9A 16 A 61 47 42 5A
monthly basis. What will be the fair value of 3 months futures contracts?

F9 16 3A 61 47 74 5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40
A1 3A 46 34 74 25 40 6 93 84 B 9F A1 63 46 134 77 25 40 D6
63 46 13 77 25 A4 D6 893 384 4B 09F 9A 63 A4 13 77 425 A4 D6
(B) Explain what is meant by intrinsic value or moneyness of an option contract
Paper / Subject Code: 46006 / Finance:Commodity & Derivatives Market

A4 13 47 42 A4 0D 89 38 4B 09 9A 16 A4 61 47 42 A 0D 89

price was Rs. 8,000. Find out the profit or loss for the lot size of 50 shares.
is compounded on monthly basis. What will be fair value of 1 month contract?

61 47 742 5A 0D 68 33 44 09 F9 16 3A 61 347 742 5A 40D 68

34 74 5A 40 68 93 84 B0 F9 A1 3A 46 34 74 5A 40 6 93
77 25 4 D6 93 38 4B 9F A 63 4 13 77 25 4 D6 89
42 A4 0D 89 38 44 09 9A 16 A 61 47 42 A 0D 89 33
charges are Rs 500 for a month. Interest rate on borrowed funds is 12% pa which
charges are Rs 750. Interest rate on borrowed funds is 12% pa compounded on

1. Sold HERO Motor Corp futures for Rs. 7,930. On the expiry the cash market
the share is Rs. 14, Rs. 16, Rs. 18, Rs. 26, Rs. 28, Rs. 30, Rs. 31, Rs. 35, Rs. 39.
premium of Rs 6 . Calculate the profit or loss for Kattappa if the market price of

5A 0D 68 33 44 B0 F9 1 3A 46 34 74 5A 40 68 33 8
40 68 93 84 B0 9F A1 63A 46 134 774 25A 40 D6 93 84 2. Took a long position on 10 contracts of RBL Bank at Rs. 960 and the
D6 93 38 4B 9F 9A 63 4 13 77 25 4 D6 89 38
89 38 44B 09 9A 16 A4 613 477 42 A4 0D 89 338 44
33 44 09 F9 16 3A 61 47 42 5A 0D 68 33 44

(15)
(07)
(08)
(D) Mr Bhallaladeva takes the position in the futures market through the following (08)
Q.4 (C) The cost of 1kg of silver is Rs 65,000 and locker rent is Rs. 2,500, the insurance (07)
(07)
(08)
Q.3 (D) Kattappa buys a PUT option of Bahubali Ltd at a strike price of Rs 30 for a (08)
Q.3 (C) The spot price of gold is Rs 39,000. The locker rent is Rs 500 and insurance (07)
(07)
(08)

84 B0 F A1 3A 46 34 74 5A 40 6 93 84 B
4B 9F 9A 63 4 13 77 25 4 D 89 38 4B 0
09 9A 16 A4 613 47 42 A4 0D 689 338 44 09
F9 16 3A 61 47 74 5A 0D 68 33 44 B0
A1 3A 46 34 74 25 40 6 93 84 B 9F
63 46 13 77 25 A4 D6 893 384 4B 09F
A4 13 47 42 A4 0D 89 38 4B 09 9
61 47 742 5A 0D 68 33 44 09 F9
3 7 5 4 9 8 B A