he IMM index price in yesterday's newspaper for a September Eurodollar futures contract is 95.23. The IMM index price in today's newspaper for the contract mentioned above is 95.25. How much is the change in the actual futures price of the contract since the previous day? $25 $50 $75 $100
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The IMM index price in yesterday's newspaper for a September Eurodollar futures contract is 95.23. The IMM index price in today's newspaper for the contract mentioned above is 95.25. How much is the change in the actual futures price of the contract since the previous day?
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$25 |
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$50 |
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$75 |
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$100 |
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- A Treasury bond futures contract has a settlement price of 89’08. What is the implied annual yield?Assume that the Euro (EUR) futures price for September is USD 1.90. Given that 115,000 units are in a Euro futures contract, the seller of Euro futures will receive which of the following? a. EUR 115000 b. EUR 60526 c. USD 60526 d. USD 218500 e. EUR 218500Today 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. a. 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? b. 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?
- Assume that today the euro futures contracts with a September 15th delivery date are priced at $1.3680/€ . Suppose that you sold 15 contracts of the euro futures today. If, by September 15th the spot rate is $1.3260/€ , your total profit/loss on your position is (the euro futures contract size is €125,000). $78,750 loss $78,750 gain €78,750 loss €5,250 loss None of the abovLet’s say a CBOT 10-year U.S. Treasury note futures contract has a quoted price of 103-18. If annual interest rates go up by 1.00 percentage point, what is the gain or loss on the futures contract? (Assume a $1,000 par value, round the new interest rate to 3 decimal places when written as a decimal, and round the change in price up to the nearest whole dollar.)Use the futures contract data in the following table to answer the question. Open High Low Settle Change Interest New Zealand dollar CME NZD 100,000; NZD/USD Sept 0.6043 0.6175 0.6025 0.6048 -0.0007 34,157 Dec 0.6128 0.6195 0.6105 0.6126 0.0004 1,569 A trader goes LONG three December NZD futures and the spot rate at maturity is 0.6138. What is the value of her position?
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