An index level of 1,000, what is the value of each contract? If a long stock index futures position on S& P 500 index futures at 1, 051 and has an index of 1, 058 at the settlement date, how much would be the trader’s gain? Complete Solution.
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A: Premium Paid = $1000 Profit on Call Option =$4000
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Q: 1. Assume a futures price of Php5000 at the start of the transaction, with Php250 initial margin…
A:
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- Put–Call Parity The current price of a stock is $33, and the annual risk-free rate is 6%. A call option with a strike price of $32 and with 1 year until expiration has a current value of $6.56. What is the value of a put option written on the stock with the same exercise price and expiration date as the call option?The stock index future contract involves buying and selling the stock index for a specified price at a specified date. How much will a contract price be if it involves the S&P SmallCap index with a current value of P200 times the index for 1700 points?* a. P340,000 b. P314,000 c. P8,500 d. P342,000Consider these futures market data for the June delivery S&P 500 contract, exactly one year from today. The S&P 500 index is at 1,950, and the June maturity contract is at F0 = 1,951.a. If the current interest rate is 2.5%, and the average dividend rate of the stocks in the index is 1.9%, what fraction of the proceeds of stock short sales would need to be available to you to earn arbitrage profits?b. Suppose now that you in fact have access to 90% of the proceeds from a short sale. What is the lower bound on the futures price that rules out arbitrage opportunities?c. By how much does the actual futures price fall below the no-arbitrage bound?d. Formulate the appropriate arbitrage strategy, and calculate the profits to that strategy.
- The one-year futures price on a particular stock - index portfolio is 1,124.91, the stock index currently is 1, 116, the one-year risk-free interest rate is 2.61%, and the year-end dividend that will be paid on a $1,116 investment in the index portfolio is $13.73. By how much is the contract mispriced? future price - parity priceThe multiplier for a futures contract on a stock market index is $50. The maturity of the contract is 1 year, the current level of the index is 1,800, and the risk-free interest rate is .5% per month. The dividend yield on the index is .2% per month. Suppose that after 1 month, the stock index is at 1,820.a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.b. Find the holding-period return if the initial margin on the contract is $5,000On a particular day, the September S&P 500 stock index futures was priced at 960.50. The S&P 500 index was at 956.49. The contract expires 73 days later. Assuming continuous compounding, suppose the risk-free rate is 5.96 percent and the dividend yield on the index is 2.75 percent. Is the futures overpriced or underpriced? Assuming annual compounding, suppose the risk-free rate is 5.96 percent and the future value of dividends on the index is $5.27. Is the futures overpriced or underpriced?
- a. A single-stock futures contract on a non-dividend-paying stock with current price $150 has a maturity of 1 year. If the T-bill rate is 3%, what should the futures price be?b. What should the futures price be if the maturity of the contract is 3 years?c. What if the interest rate is 6% and the maturity of the contract is 3 years?A non-dividend-paying stock has a futures contract with a price of $82.20 and a maturity of six months. If the risk-free rate is 3.9 percent, what is the price of the stock? (Do not round intermediate calculations. Round your answer to 2 decimal places.)Suppose a stock is currently (time t = 0) worth 100. Further, suppose the one year annually compounded interest rate is 2%, and the two year annually compounded rate is 3%. Find the following:a) The forward price for a forward contract on the stock with maturity year T1 = 1. b) The forward price for a forward contract on the stock with maturity year T2 = 2.c) The forward price for a forward contract with maturity T1 = 1 on a ZCB with maturity T2 = 2.d) The forward price for a forward contract with maturity T1 = 1 on a forward contract on the stock with maturity T2 = 2 and delivery price K = 101.
- Suppose that the value of the S&P 500 stock index is 2,000.a. If each E-mini futures contract (with a contract multiplier of $50) costs $25 to trade with a discount broker, how much is the transaction cost per dollar of stock controlled by the futures contract?b. If the average price of a share on the NYSE is about $40, how much is the transaction cost per “typical share” controlled by one futures contract?c. For small investors, a typical transaction cost per share in stocks directly is about 10 cents per share. How many times the transactions costs in futures markets is this?The value of the S&P 500 index is 4,815. The continuously compounded risk - free rate is 5.5% and the continuous dividend yield is 1.1% . You consider trading 1 E- mini futures on the S&P 500 (symbol: ES) with a contract unit of $5 x S&P 500 Index listed on CME and 115- days to expiration. a. Calculate the no - arbitrage futures price of the position. b. Calculate the value of a long futures position after 46 days if the index value is $3,852.A single stock futures contract on a non dividend-paying stock with current price $120 has a maturity of three years. If the T-bill rate is 4.0%, what should the future price be? Round your answer to two decimal places.