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Each contract is or 5100 000 A hedger takes a short position in 5 T bill...
A hedger takes a short position in five t-bill future contracts at the price of 99yy....
A hedger takes a short position in five t-bill future contracts at the price of 99yy. Each contract is for $100,000 principal. When the position is closed, the price is 98 5/32. What is the gain or loss on this transaction?
3. Assume the commodity whi contract. As sec contract) are 90, 9. You initiated a short...
3. Assume the commodity whi contract. As sec contract) are 90, 9. You initiated a short futures position at a price of 100 before leaving for school. Now you must be at school to take this exam so you can not monitor the progress of your position. What order could you place with your broker just before taking this exam to unwind your position if prices moved 10 points in your favor? a. Buy limit 90 b. Buy stop 90...
2. A trader takes a long position and a hedge fund takes a short position on...
2. A trader takes a long position and a hedge fund takes a short position on ten S&P 500 futures contracts at 3300. A single S&P 500 futures contract invoice price equals ($50) x (Index Price). The initial margin is $12,500 and the maintenance margin is $9,500 per contract. Ten trading days later, the futures price of the index drops to 3150. a) What is the change in margin account balance 1) for the trader, and 2) for the hedge...
Use the following information for questions 27 – 29. Bill is a corn farmer in the Texas Panhandle. He has a 10 year average corn production of 25,000 bushels on his farm. At no time in the past 5 year...
Use the following information for questions 27 – 29. Bill is a corn farmer in the Texas Panhandle. He has a 10 year average corn production of 25,000 bushels on his farm. At no time in the past 5 years has that production dropped below 15,000 bushels. On March 5, Bill notices the December CBOT corn futures are trading at $4.178 per bushel. This is a much higher price than Bill has seen in the past and he wants to...
15.8. Bob takes a long position in one contract of S&P 500 futures. Each contract is...
15.8. Bob takes a long position in one contract of S&P 500 futures. Each contract is for the delivery of 250 units of the index at a price of 1800 per unit. The initial margin is 10% of the notional value and the maintenance margin is 80% of the initial margin. Interest on the margin account is paid at an annual continuously compounded rate of 5%. The first mark-to-market occurs one week (7 days) after the sale of the contract....
B. Bill Jarvis, a fund manager, wishes to rebalance his portfolio of stocks by selling his...
B. Bill Jarvis, a fund manager, wishes to rebalance his portfolio of stocks by selling his current holding of 3,000 Intel stocks in 5 days-time. Today, February 12, the March Intel stock futures contracts trade at $21 per share. On this day (February 12) Bill Jarvis takes a hedging position in March Intel futures contracts. The initial margin is $450 per contract and the maintenance margin is $300 per contract. The size of a futures contract is 100 Intel stocks....
Louis deposits $80,000 of margin and takes a short position in 80 corn futures contracts, covering...
Louis deposits $80,000 of margin and takes a short position in 80 corn futures contracts, covering 5000 bushels each, on Monday. Louis' trade price and the closing futures price on Monday are both $3.9050 per bushel. The initial and maintenance margins are $1000 and $800, respectively, per contract. The daily interest rate is 1.1 basis points per day on Monday and Tuesday and 1.2 bp per day on Wednesday. There are no transaction costs. On Tuesday, Wednesday and Thursday, the...
Problem 22-13 OneChicago has just introduced a single-stock futures contract on Brandex stock, a company that...
Problem 22-13 OneChicago has just introduced a single-stock futures contract on Brandex stock, a company that currently pays no dividends. Each contract calls for delivery of 900 shares of stock in 1 year. The T-bill rate is 9% per year. a. If Brandex stock now sells at $210 per share, what should the futures price be? (Round your answer to 2 decimal places.) Futures price $ 220.78 b. the Brandex price drops by what will be the new futures price...
Problem-01a: Current crude oil price is $52.00 per barrel. You sell (short position) 5, five, crude...
Problem-01a: Current crude oil price is $52.00 per barrel. You sell (short position) 5, five, crude oil futures contracts at futures price of $54.00 per barrel with maturity of one month. (Size of the contract is 5) Note that the size of one futures contract is 1,000 barrels. What is your profit if the crude oil price is $57.00 at maturity and assume cash settlement for this problem? ii. What is your profit if the crude oil price is $49.00...
5. (a) Explain the differences between a forward contract and an option. [2] (b) An investor...
5. (a) Explain the differences between a forward contract and an option. [2] (b) An investor has taken a short position in a forward contract. If Sy is the price of the underlying stock at maturity and K is the strike, what is the payoff for the investor? Does the investor expect the underlying stock price to increase or decrease? Explain your answer. (2) (c) (i) An investor has just taken a short position in a 6-month forward contract on...
3. Assume the commodity whi contract. As sec contract) are 90, 9. You initiated a short futures position at a price of 100 before leaving for school. Now you must be at school to take this exam so you can not monitor the progress of your position. What order could you place with your broker just before taking this exam to unwind your position if prices moved 10 points in your favor? a. Buy limit 90 b. Buy stop 90...
2. A trader takes a long position and a hedge fund takes a short position on ten S&P 500 futures contracts at 3300. A single S&P 500 futures contract invoice price equals ($50) x (Index Price). The initial margin is $12,500 and the maintenance margin is $9,500 per contract. Ten trading days later, the futures price of the index drops to 3150. a) What is the change in margin account balance 1) for the trader, and 2) for the hedge...
15.8. Bob takes a long position in one contract of S&P 500 futures. Each contract is for the delivery of 250 units of the index at a price of 1800 per unit. The initial margin is 10% of the notional value and the maintenance margin is 80% of the initial margin. Interest on the margin account is paid at an annual continuously compounded rate of 5%. The first mark-to-market occurs one week (7 days) after the sale of the contract....
B. Bill Jarvis, a fund manager, wishes to rebalance his portfolio of stocks by selling his current holding of 3,000 Intel stocks in 5 days-time. Today, February 12, the March Intel stock futures contracts trade at $21 per share. On this day (February 12) Bill Jarvis takes a hedging position in March Intel futures contracts. The initial margin is $450 per contract and the maintenance margin is $300 per contract. The size of a futures contract is 100 Intel stocks....
Problem 22-13 OneChicago has just introduced a single-stock futures contract on Brandex stock, a company that currently pays no dividends. Each contract calls for delivery of 900 shares of stock in 1 year. The T-bill rate is 9% per year. a. If Brandex stock now sells at $210 per share, what should the futures price be? (Round your answer to 2 decimal places.) Futures price $ 220.78 b. the Brandex price drops by what will be the new futures price...
5. (a) Explain the differences between a forward contract and an option. [2] (b) An investor has taken a short position in a forward contract. If Sy is the price of the underlying stock at maturity and K is the strike, what is the payoff for the investor? Does the investor expect the underlying stock price to increase or decrease? Explain your answer. (2) (c) (i) An investor has just taken a short position in a 6-month forward contract on...
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