NISM Series VIII case studies
NISM Series VIII · Put your knowledge to work in context.
NISM-Series-VIII: Equity Derivatives Certification Examination is listed by the National Institute of Securities Markets (NISM) under the Derivatives group of certification examinations, alongside the Currency Derivatives, Commodity Derivatives, Interest Rate Derivatives and Common Derivatives examinations. NISM describes itself as a public trust established in 2006 by the Securities and Exchange Board of India (SEBI), the regulator of the securities markets in India, carrying out capacity building activities aimed at enhancing quality standards in securities markets. The NISM Series VIII case studies are 5 cases and about 3,366 words.
1Hedging a Beta-1.15 Portfolio with Nifty Futures: Sizing, Basis and Rollover
Meera manages a ₹50 crore equity portfolio whose measured beta against the Nifty 50 is 1.15. On 3 March the Nifty spot is 24,000 and the March futures trade at 24,045; the lot size is 25 and the contract expires on 27 March.
678 words, about 3 min2Assignment on a Physically Settled Stock Call: Buy Back or Deliver?
On 20 March, with Reliance Industries trading at ₹2,855, Ravi sells 8 lots of the 2,900-strike March call at ₹28. The lot size is 250, so he has written options on 2,000 shares, and expiry is 27 March.
642 words, about 3 min3Bull Call Spread versus Naked Call: Payoff, Margin and Early Exit
On 1 April the Nifty is at 24,000 and the 30 April options are quoting: 24,200 call at ₹120 and 24,600 call at ₹45. Kavya has a moderately bullish view with a target of 24,600 by expiry and a hard stop at 23,900.
658 words, about 3 min4Cash-and-Carry in a Stock Future: Fair Value, Ban List and Delivery Mechanics
On 4 June, shares of ABC Ltd trade at ₹1,040 in the cash market while the 29 June futures trade at ₹1,058. The lot size is 1,000 and ABC is expected to pay a dividend of ₹8 per share with the ex-date on 16 June, well before expiry.
698 words, about 3 min5MTM Shortfall, Broker Square-Off and Peak Margin Penalty
On 10 June, with the Nifty at 24,100, a client with ₹10.5 lakh of margin collateral (cash plus pledged funds) buys 12 Nifty futures lots at 24,100. The lot size is 25, the contract value is ₹72.3 lakh and the broker's SPAN+exposure requirement is ₹9.6 lakh.
690 words, about 3 min