Exotic options
Asia Derivatives › Exotic options · 8 generators
0 / 0 so farUntimed · unlimited · not counted in your daily record
You are hedged with the onshore contract at 24% vol, but your option is marked to offshore vol at 24.75%. Your vega is 10,000 per vol point. How much PnL does the basis cost you, in dollars to 2 decimal places?
The basis is the vol difference between the two venues for the same underlying, such as A50 on SGX versus CSI 300 onshore.
What this quiz tests
- forward-vol — Forward vol between two tenors from spot vols.
- vol-basis-pnl — Cost of a cross-market vol basis, such as A50 versus CSI 300.
- exotic-identify — Identify the exotic structure from its payoff mechanics.
- exotic-greeks — The correlation, vol and gamma position implied by a structure.
- exotic-stickiness — How a spot move changes ATM vol under each stickiness convention.
- exotic-hedgeability — Which risks can be hedged on-exchange in Asia, and which cannot.
- exotic-convention — Averaging, fixing and delta conventions as sources of risk.
- exotic-where-sold — Which structured products dominate each Asian market.
Untimed and unlimited. Nothing here affects your daily record, but anything you miss still feeds the spaced-repetition queue. For the set that mixes every group, play Today.