You are an options portfolio manager for AUD/USD. You have just traded a 37 delta risk-reversal with an fellow institutional portfolio manager whereby you are the seller of AUD puts. The face value is A$10 million Determine the amount of the delta-hedge that will be required with this counterparty. (Please round your response to the nearest whole A$ - being a positive number if you buy AUD from the counterparty, and a negative number if you sell to the counterparty)

You are a price maker running the AUD/USD options book for your bank. Your customer is a wheat exporter who receives payment in USD, but they need to convert these receipts to AUD. Your customer is required to hedge their FX risk on an upcoming exposure. They are VERY bullish on the AUD/USD rate. Unhedged, a stronger AUD/USD rate is blank to their profitability. Given their outlook for the currency, the most appropriate hedging stratey would be to: blank

You are presented with the following maket data relating to AUD/USD: Spot: 0.6600Exchange rate (AUD/USD) rt: 8.00%Terms currency interest rate rc: 11.00%Risk-free rate T: 0.2500Time to maturity (years) Sigma: 20.00%Volatility R/R adjustment: 1.00%..for calls Determine the strike rate of the AUD put in relation to a 25.0% delta risk-reversal. (Please round your exchange rate to 4 decimal places)

You are a price maker. The bid for the AUD/USD is 0.7463. What price do you need to show to attract a customer wanting to sell AUD?

You are a portfolio manager running the AUD/USD options book for your bank. You have reviewed the risk profile of your portolio and have become concerned about a short vega position building up around 3 month maturity which approximates strikes circa. 22-28 delta on the AUD/USD downside coupled with a buildup of a similar long vega position for an AUD/USD topside move around the same dates and deltas. You are concerned that recent global economic forecasts point to a substantially lower AUD/USD rate in the coming months - and fear that other institutions may have a similar risk profile on their portfolio. This suggests that any downward move in the AUD/USD rate will be fast due to cascading stop loss orders hitting the market. The likelihood of a move higher for the AUD/USD seems unlikely at this stage. Based on these views, a downward move in the AUD/USD rate would likely be accompanied by a ? in implied volatility rates across the curve. The most appropriate protective strategy for your vega position might be to ? with a maturity around ? and delta(s) of approximately ? . As a further consequence, you expect to see a substantial ? in short dated (1 and 2 week maturity) implied volatility rates reflecting the higher market demand for ? protection due to higher actual volatility in the AUD/USD rate.

You are an options portfolio mananger. You need to maintain a delta neutral position at all times. You have just traded (hedged) with an interbank counterparty who has sold 66 call option contracts of PBS shares to you. Each contract is based on 1000 shares, and has a delta of 40 % How many additional shares in PBS do you need to trade into the open market to remain delta neutral? (If you need to buy shares, please enter a positive integer, or a negative integer if you need to sell)