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Have you already taken "Fundamentals of Energy Futures"?
YES
NO

Have you already taken "Options I - Fundamentals of Energy Options"?
YES
NO

Have you already taken "Options II - Option Pricing and Applications"?
YES
NO

1. Which of the following is not a variable in the Black/Scholes option pricing model?
   1. Time until expiration
      
   2. Historical volatility
      
   3. Risk-free interest rate
      
2. Delta is steepest __________________.
   1. In the money
      
   2. At the money
      
   3. Out of the money
      
3. A positive delta means that ____________________________.
   1. The option will profit from an increase in underlying price
      
   2. The option premium will increase if the underlying price increases
      
   3. The option is in the money
      
4. Which position would you prefer, to delta hedge a long underlying position if you want to minimize time decay?
   1. Long call
      
   2. Long put
      
   3. Short call
      
   4. Short put
      
5. When is gamma at its highest?
   1. At the money, close to expiration
      
   2. In the money, close to expiration
      
   3. At the money, far from expiration
      
6. Which have positive gamma?
   1. Long puts, long calls
      
   2. Short puts, short calls
      
   3. Short puts, long calls
      
7. If futures are at $20.00 and volatility increases, which option will show the greatest increase in premium?
   1. $20.00 call with 30 days to expiration
      
   2. $20.00 put with 90 days to expiration
      
   3. $21.00 call with 90 days to expiration
      
   4. $21.00 put with 30 days to expiration
      
8. Which will require the fewest option contracts to hedge an underlying position?
   1. In the money options
      
   2. At the money options
      
   3. Out of the money options
      
9. Futures = $23.37
   Implied volatility = 23%
   $24 put = $0.96

   What is the time value of the $24 put?

   1. $0.33
      
   2. $0.63
      
   3. $0.96
      
10. Which of these strategies can be used to reduce the cost of time decay? (check all that apply)
    1. Rolling long option positions to a later month two weeks before expiration
       
    2. Rolling short option positions to a later month two weeks before expiration
       
    3. Rolling long option positions to a month with two weeks before expiration
       
    4. Selling calls rather than buying puts
       
11. Which of the following spread options is not available on the NYMEX?
    1. crack spread
       
    2. spark spread
       
    3. calendar spread
       
12. Which of the following is a variable in spread option pricing models?
    1. The average spread level
       
    2. The seasonality of spread levels
       
    3. The expiration dates for options on the spread components
       
    4. The correlation between the spread components
       
13. Due to put/call parity, which of these will be equal between puts and calls with the same strike price and expiration date?
    1. intrinsic value
       
    2. time value
       
    3. total value
       
14. Which of the following is an estimate of how much an option delta will change for each unit change in the underlying price?
    1. delta
       
    2. gamma
       
    3. epsilon
       
    4. theta
       
15. A synthetic long futures position is made by combining which of the following?
    1. Long call + short put with the same strike price and expiration date
       
    2. Short call + long put with the same strike price and expiration date
       
    3. Long call + short futures with different strike prices but the same expiration date
       
16. The implied volatility of a $20.00 call and a $21.00 call, with the same expiration date, will always be equal.
    1. TRUE
       
    2. FALSE
       
17. The implied volatility of a $20.00 call and a $20.00 put, with the same expiration date, will always be equal.
    1. TRUE
       
    2. FALSE
       
18. Which generally happens as an option approaches expiration?
    1. Implied volatility stays steady
       
    2. Implied volatility decreases
       
    3. Implied volatility increases
       
19. Futures = $23.42
    Implied volatility = 26%
    $24 put = $0.73

    What is the time value of the $24 call?

    1. $0.73
       
    2. $0.15
       
    3. $1.31
       
20. Which type of volatility is calculated from past prices?
    1. Implied
       
    2. Intrinsic
       
    3. Open
       
    4. Historical