The multiplier for a futures contract on a stock market index is $250. The maturity of...
The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is 1 year, the current level of the index is 1,310, 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 1,315. 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 $13,000.
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The multiplier for a futures contract on a stock market index is
$250. The maturity of...
The multiplier for a futures contract on a certain stock market index is $250. The maturity...
The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 2,033. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly....
The multiplier for a futures contract on a stock market index is $70. The maturity of...
The multiplier for a futures contract on a stock market index is $70. The maturity of the contract is 1 year, the current level of the index is 1,840, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,860. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do...
9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-f...
9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-free interest rate is 0.3% per month. The dividend yea on the index is 02% per month. Suppose that after one month, the stock index is at 1529. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition...
The multiplier for a futures contract on a certain stock market index is $50. The maturity...
The multiplier for a futures contract on a certain stock market index is $50. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.2% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 2,040. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly....
C. T0 d. 114 II. Spot-Futures Parity (L.O3, CFA) A stock index futures contract maturing in...
C. T0 d. 114 II. Spot-Futures Parity (L.O3, CFA) A stock index futures contract maturing in one currently traded price of S1,000. The cash index has a dividend yield of 2 percent an est rate is 5 percent. Spot-futures parity then implies a cash index level of a. $933.33. b. $970.87 c. $1,071 d. $1,029 futures contract matures in one year. The
On January 1, you sold one March maturity S&P 500 Index futures contract at a futures...
On January 1, you sold one March maturity S&P 500 Index futures contract at a futures price of 1,000. If the futures price is 1,100 on February 1, what is your profit or loss? The contract multiplier is $250. (Input the amount as positive value.) (Click to select)LossProfit of $
The index multiplier for the dollar denominated CME Nikkei 225 index futures contract is $5. Suppose...
The index multiplier for the dollar denominated CME Nikkei 225 index futures contract is $5. Suppose that the current futures index price for the June Nikkei 225 contract is 14272, and the current spot market value of the Nikkei 225 index is 14432. What is the market value of the underlying asset for one contract, denominated in dollars?
On January 1, you sold one February maturity S&P 500 Index futures contract at a futures...
On January 1, you sold one February maturity S&P 500 Index futures contract at a futures price of 2,418. If the futures price is 2,495 at contract maturity, what is your profit? The contract multiplier is $50. (Input the amount as positive value.)
On 1 January you sold one March maturity S&P/ASX 200 index futures contract at a futures...
On 1 January you sold one March maturity S&P/ASX 200 index futures contract at a futures price of 700. If the futures price is 800 on 1 February, what is your profit? The contract multiplier is $25. In other words, the contract calls for delivery of $25 times the value of index. 1 index point move translates into a $25 change in the value of the contract. a. $100 b. -$100 c. $700 d. $2,500 e. -$2,500 Which one of...
4. Sun Board of Trade offers futures contract on Nyakato, Inc. Assume risk free interest rate...
4. Sun Board of Trade offers futures contract on Nyakato, Inc. Assume risk free interest rate is 0.25% per month and Nakato stock sells for $450 per share (a) Find the predicted futures price (on Nyakato) for delivery in 3 months. (5) (b) If the futures price on Nyakato stock in the market is $455.00, is the spot-futures parity relationship violated? If yes, show the strategy and the cash flows at time 0 and at time T (maturity) that can...
The multiplier for a futures contract on a stock market index is $70. The maturity of the contract is 1 year, the current level of the index is 1,840, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,860. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do...
9. 10.00 points value: The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is year, the current level of the index is 1,500, and the risk-free interest rate is 0.3% per month. The dividend yea on the index is 02% per month. Suppose that after one month, the stock index is at 1529. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition...
The multiplier for a futures contract on a certain stock market index is $50. The maturity of the contract is one year, the current level of the index is 2,000, and the risk-free interest rate is 0.2% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 2,040. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly....
C. T0 d. 114 II. Spot-Futures Parity (L.O3, CFA) A stock index futures contract maturing in one currently traded price of S1,000. The cash index has a dividend yield of 2 percent an est rate is 5 percent. Spot-futures parity then implies a cash index level of a. $933.33. b. $970.87 c. $1,071 d. $1,029 futures contract matures in one year. The
4. Sun Board of Trade offers futures contract on Nyakato, Inc. Assume risk free interest rate is 0.25% per month and Nakato stock sells for $450 per share (a) Find the predicted futures price (on Nyakato) for delivery in 3 months. (5) (b) If the futures price on Nyakato stock in the market is $455.00, is the spot-futures parity relationship violated? If yes, show the strategy and the cash flows at time 0 and at time T (maturity) that can...
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