Question

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. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Cash flow $

b. Find the holding-period return if the initial margin on the contract is $30,000. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

Holding-period return %