"Derivative"exercise:Implied volatility
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Questions 1:
The factor least likely to influence the yield spread on an option-free, fixed-rate bond is a change in the:
A 、credit risk of the issuer.
B 、expected inflation rate.
C 、liquidity of the bond.
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.
B is correct. For an option-free, fixed-rate bond, changes in the yield spread can arise from changes in the credit risk of the issuer and/or changes in the liquidity of the issue. Changes in the expected inflation rate influence the benchmark rate.
C is incorrect because changes in the yield spread an option-free, fixed-rate bond arise from changes in the liquidity of the issue.
A is incorrect because changes in the yield spread an option-free, fixed-rate bond arise from changes in the credit risk of the issuer.
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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