3635 assignment
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Australian School of Business
School of Banking & Finance
FINS3635 OPTIONS, FUTURES AND RISK MANAGEMENT TECHNIQUES
Session 2, 2013
Assignment Due 9 am on October 23, 2013
This is a group assignment to be undertaken by no more than 7 students. Group members can be formed from different tutorial classes. You may use Excel for this assignment.
Submission: You must upload your assignment on UNSW Blackboard before 9am on
23/10/2013 and hand in a printed copy in the lecture. Only one submission is required for each group.
Late Penalty: The late penalty for the assignment is 10 percent of the full mark per day for each day the assignment is late, including weekends and public holidays.
Other Penalties: The penalty for groups of more than 7 students is 50% deduction of the total mark received.
Total 15 marks
Part 1: Hedging with Futures
Assume that you are holding a portfolio of S&P index and consider using the S&P 500 index futures contracts to hedge the portfolio risk. Determine your hedging strategy and discuss how to implement your strategy (note that the contract information of the S&P 500 index futures can be found at the CME website). Data file can be downloaded from the course
Blackboard under the Project folder. The file contains daily prices of S&P 500 index and
S&P 500 index futures.
Part 2: Trading Options
Go to Yahoo Finance http://finance.yahoo.com/ and click on the Dow Jones, NASDAQ (on the top panel). Then click on components on the left panel. You can see a list of stocks in the
“Symbol” column. When you click on any stock, you will get basic information on the stock.
Among them, Market Cap is the one you need to use to select stocks. You need to select three stocks (a stock with market capitalization more than $10 billion, a stock with market capitalization in between $10 billion and $500 million and a stock with market capitalization less than $500 million) whose options are reasonably actively
Australian School of Business
School of Banking & Finance
FINS3635 OPTIONS, FUTURES AND RISK MANAGEMENT TECHNIQUES
Session 2, 2013
Assignment Due 9 am on October 23, 2013
This is a group assignment to be undertaken by no more than 7 students. Group members can be formed from different tutorial classes. You may use Excel for this assignment.
Submission: You must upload your assignment on UNSW Blackboard before 9am on
23/10/2013 and hand in a printed copy in the lecture. Only one submission is required for each group.
Late Penalty: The late penalty for the assignment is 10 percent of the full mark per day for each day the assignment is late, including weekends and public holidays.
Other Penalties: The penalty for groups of more than 7 students is 50% deduction of the total mark received.
Total 15 marks
Part 1: Hedging with Futures
Assume that you are holding a portfolio of S&P index and consider using the S&P 500 index futures contracts to hedge the portfolio risk. Determine your hedging strategy and discuss how to implement your strategy (note that the contract information of the S&P 500 index futures can be found at the CME website). Data file can be downloaded from the course
Blackboard under the Project folder. The file contains daily prices of S&P 500 index and
S&P 500 index futures.
Part 2: Trading Options
Go to Yahoo Finance http://finance.yahoo.com/ and click on the Dow Jones, NASDAQ (on the top panel). Then click on components on the left panel. You can see a list of stocks in the
“Symbol” column. When you click on any stock, you will get basic information on the stock.
Among them, Market Cap is the one you need to use to select stocks. You need to select three stocks (a stock with market capitalization more than $10 billion, a stock with market capitalization in between $10 billion and $500 million and a stock with market capitalization less than $500 million) whose options are reasonably actively