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ACI 3I0-012 Actual Questions

Page: 7 / 27
Question 28

What is the probability of an ‘at-the-money’ option being exercised?

Options:

A.

Less than 50% probability

B.

50% probability

C.

More than 50% probability

D.

Zero probability

Question 29

A forward-forward lender has an exposure to the risk of:

Options:

A.

Higher interest rates

B.

Lower interest rates

C.

Flattening yield curve

D.

Parallel shift downwards in the yield curve

Question 30

The gamma of an option is:

Options:

A.

The sensitivity of the option value to changes in volatility

B.

The sensitivity of the option value to changes in the time to expiry

C.

The sensitivity of the delta to changes in the value of the underlying

D.

The sensitivity of the option value to changes in the price of the underlying

Question 31

The forward points are calculated using:

Options:

A.

The level of interest rates in the base currency

B.

The level of interest rates in the quoted currency

C.

The interest rates in the two currencies

D.

Your expectations of the future spot rate

Page: 7 / 27
Exam Code: 3I0-012
Exam Name: ACI Dealing Certificate
Last Update: Nov 21, 2024
Questions: 740
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