= An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three months. The S&P 500 index currently trades at St $4,538.43. (As of 3-Dec-21.) Regarding contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally, the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures contract is currently trading at F₁(T) = $4,531.25 (actual settlement price for the Mar-22 contract on 3-Dec-21). Given this information, address the following two questions. Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r? (a) -0.012 (b) 0.012

= An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three months. The S&P 500 index currently trades at St $4,538.43. (As of 3-Dec-21.) Regarding contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally, the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures contract is currently trading at F₁(T) = $4,531.25 (actual settlement price for the Mar-22 contract on 3-Dec-21). Given this information, address the following two questions. Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r? (a) -0.012 (b) 0.012

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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An oil refining company enters into 1,000 long one- month crude oil futures contracts on NYMEX at a futures price of $43 per barrel. At maturity of the contract, the company rolls half its position forward into new one-month futures and closes the remaining half. At this point, the spot price of oil is $44 per barrel, and the new one-month futures price is $43.50 per barrel. At maturity of this second contract, the company closes out its remaining position. Assume the spot price is $46 per barrel. Ignoring interest, what are the company'’s gains or losses from its futures positions?
Assume that on Friday August 1, you buy one Chicago Board of Trade September Treasury bond futures contract at the opening price of $97800. The initial margin requirement is $2500 and the maintenance margin requirement is $2000. The settlement price of the contract at closing on that day is $97400. Your margin account balance at the end of the day is $ . Question 12 options:
On January 1, you sold one February maturity S&P 500 Index futures contract at a futures price of 2,412. If the futures price is 2,480 at contract maturity, what is your profit? The contract multiplier is $50. (Input the amount as positive value.)
On January 1, you sold one April S&P 500 index futures contract at a futures price of 1775. If the April futures price is 1918 on February 1, what is your profit or loss if you close your position? The multiplier for the S&P 500 index futures contract is 250. Group of answer choices +35,750 +53,096 +32,933 -32,933 -35,750
An investor enters a long position in a Bitcoin April 2023 futures contract at $23,450. Each contract controls 5 bitcoins. The initial margin for each contract is $30,800, the maintenance margin is $28,000. The futures price changes to $23,020 at the end of the first day and $22,752 on the end of the second day. Compute the amount in the margin account at the end of each day for the long position and any variation margin needed. (Please provide a step-by-step solution on how to solve this problem with a calculator, thank you!)
On August 1, the one-month LIBOR rate is 2.0 percent and the two-month LIBOR rate is 2.5 percent. The 30-day fed funds futures is quoted at 96.75. Assuming no basis risk between fed funds and one-month LIBOR at the start of the delivery month, identify whether an arbitrage opportunity is available. The contract size of the fed funds futures is $5,000,000.
On 1 July 2023, Molly Ltd holds a well-diversified portfolio of shares that is valued at $1.55 million. On this date it enters into 60 futures contracts on All Ordinaries Share Price Index futures in which it takes a sell position. The All Ordinaries Index on 1 July 2023 is 2500 with $10 per index point. So the total price of the futures contract is calculated as 2500 × 60 × $10 contracts = $1,500,000. A total deposit of $100,000 is paid on the futures contracts. On 29 July 2023 Molly Ltd decides to sell its portfolio of shares and to close out its futures contracts. On this date, the market value of the share portfolio is $1.725 million and the All Ordinaries Index is 2720. Required: Prepare the entries of Molly Ltd for any financial assets or financial liabilities that arise in each case and show your working process.
Assume that on Friday August 1, you buy one Chicago Board of Trade September Treasury bond futures contract at the opening price of $97,800. The initial margin requirement is $2,500 and the maintenance margin requirement is $2,000. The settlement price of the contract at closing on that day is $97,400. The settlement price of the contract at closing on the next business day (August 4) is $98,000. Your margin account balance at the end of the day on August 4 is $ . Question 23 options:
Please help and explain. Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Month Spot Price End of Month(S) Futures Price, End of Month (F) Change in Futures Price Contract Size (ounces) Buyer/Long Position Seller/Short Position Contract Initiated 0 1307.00 1339.84 -- 100 (c) (c) Initial Margin 1 1309.00 1335.25 (b) 100 (c) (c) Monthly Adjustments 2 (a) 1336.76 (b) 100 (c) (c) 3 1332.00 1345.29 (b) 100 (c) (c) 4 1325.00 (a) (b) 100 (c) (c) Delivery 5…
Please answer and explain without using excel. Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Month Spot Price End of Month(S) Futures Price, End of Month (F) Change in Futures Price Contract Size (ounces) Buyer/Long Position Seller/Short Position Contract Initiated 0 1307.00 1339.84 -- 100 (c) (c) Initial Margin 1 1309.00 1335.25 (b) 100 (c) (c) Monthly Adjustments 2 (a) 1336.76 (b) 100 (c) (c) 3 1332.00 1345.29 (b) 100 (c) (c) 4 1325.00 (a) (b) 100 (c)…
Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a long position in one contract. Your performance bond account currently has a balance of $1,700. The next three days’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Your position in this contract is closed on 4 November 2022. How can you assess your overall profit or loss? Would your overall profit/loss from 1) change if, on 5 November 2020, you had…

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