Table 2.7Corn futures priceson the ChicagoMercantile Exchange,January 3, 2019Maturity LastMar-19May-19Jul-19Sep-19Dec-19Mar-20Change High3.80250.7500 3.8075 3.79753.88000.5000 3.88003.87503.95000.2500 3.95253.94503.97000.0000 3.97003.96504.0075 -0.5000 4.01004.00254.0975 0.0000 4.1000 4.0950LowSource: www.cmegroup.com. Look at the futures listings for the corn contract in Table 2.7.Suppose you buy one contract for December 2019, delivery. If the contract closes in December at a level of 4.25, what will your profitbe? (Round your answer to 2 decimal places.)Profit

Future contracts are that are settled in the future. Trading in the futures involves the high risk…

Corn futures prices on the Chicago Mercantile Exchange, January 3, 2019 Maturity Last Low Change High Mar-19 3.8025 0.7500 3.8075 3.7975 May-19 3.8800 0.5000 3.8800 3.8750 Jul-19 3.9500 0.2500 3.9525 3.9450 Sep-19 3.9700 0.0000 3.9700 3.9650 Dec-19 4.0075 -0.5000 4.0100 4.0025 Mar-20 4.0975 0.0000 4.1000 4.0950

Corn futures prices on the Chicago Mercantile Exchange, January 3, 2019 Maturity Last Low Change High Mar-19 3.8025 0.7500 3.8075 3.7975 May-19 3.8800 0.5000 3.8800 3.8750 Jul-19 3.9500 0.2500 3.9525 3.9450 Sep-19 3.9700 0.0000 3.9700 3.9650 Dec-19 4.0075 -0.5000 4.0100 4.0025 Mar-20 4.0975 0.0000 4.1000 4.0950

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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Mf2. Suppose you took a long position in a September T-bill futures priced at IMM index 95.5. What would be your profit or loss on the position if the price of a spot 91-day T-bill were trading at YTM of 5% at the September expiration?
13. The FTSE100 on August 1, 2021 trades at 6250 points. The 6-month UK T-bill rate (in discrete compounding) is 0.50% and the futures price on FTSE100 for a contract with February 2021 delivery is equal to 6179.29 points. Determine the dividend yield (annual basis, discrete compounding) on the FTSE100 which is implied by the market futures price.
Question 4David sells an SAP 500 futures contract with a September settlement date when the index is 1650 By the settlement date, the S&P 500 index fall to 1360, The reum on David postion in the SAP 500 futures conrct is_____percent
D6 Suppose the ASX200 Index is currently at 7,406, the expected dividend yield on the index is 2 percent per year, and the risk-free rate is 0.35%. Using the current price of ASX200 futures contracts that expire in six months recommend a program trading strategy for buying or selling the futures?
Q3 [Hull, Practice Question 5.22 on p.127]The 2-month interest rates in Switzerland and the United States are, respectively, 1%and 2% per annum with continuous compounding. The spot price of the Swiss francis $1.0500. The futures price for a contract deliverable in 2 months is $1.0500. Whatarbitrage opportunities does this create?Hint: The theoretical futures price is1.0500 ∗ ?(???− ???)∗(212) =? ? ?The actual futures price is too ____. This suggests that the arbitrageur should sell______ for ______ and buy Swiss francs back in the futures market.
Question 3 The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore: Fk = 0.08, K= 0.08, R= 0.075, σk = 0.15, tk = 0.75 and P(0,tk+1) = e-0.075*1 =0.9577 Use these information to estimate the call price.
Question 3 The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore: Fk = 0.08, K= 0.08, R= 0.075, σk = 0.15, tk = 0.75 and P(0,tk+1) = e-0.075*1 =0.9577 Use these information to estimate the call price with mathematical formulars.
D & R A1 5 - 1 Question 5. Pricing Option on Futures Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year. What is the Black model price of a European call option on this futures contract, expiring on December 20 and with an exercise price of $46?
D & R A1 5 - 2 Question 5. Pricing Option on Futures Today is September 1. A futures contract on crude oil expiring on December 20 of the same year has a futures price of $44.70. The volatility on the futures contract is 23%, and the continuously compounded risk-free rate is 2%. Assume that there are 365 days in a year. What is the Black model price of a European put option on this futures contract, expiring on December 20 and with an exercise price of $50?
A Eurodollar futures price changes from 99.45 to 94.32. What is the gain or loss to an investor who is long 5 contracts? Choose the right answer: a. The investor makes gain – 128.25$ b. The investor makes loss – 641.25$ c. The investor makes loss – 195$ d. The investor makes gain – 195.25$ e. The investor makes loss – 128.25$
which one is correct please confirm? Q16: "If you purchase a $100,000 interest-rate futures contract for 105, and the price of the Treasury securities on the expiration date is 108" your profit is $3000 your loss is $3000 your profit is $8000 your loss is $8000
Question 5 – Futures Arbitrage You are a financial advisor at Festo Ltd. Your client would like to explore the possibility of an arbitrage opportunity on the following futures contract. The futures contract will expire in 9 months. The underlying asset is a non-dividend paying share that is currently trading at a price of R120 per share. The risk-free interest rate per month is 0.67%. The current futures price is R125, however, the intrinsic or fair value of the futures is estimated to be R127.43.Required:5.1. Ignoring transaction and other costs, detail the appropriate arbitrage strategy. 5.2. Discuss any two differences between futures and forwards contracts.

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