"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.

View answer resolution

【Answer to question 1】B

【analysis】

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.

【Answer to question 2】B

【analysis】

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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