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5. 1000 value: The multiplier for a futures contract on the stock market index is $250. The maturity of the contrac s one ear, the
5. 1000 value: The multiplier for a futures contract on the stock market index is $250. The maturity of the contrac s one ear, the current eve of the index s 700, and he ris e interest rates 0 5 % per month.The dividend yield on the index is 0.3% per month. Suppose that after one month, the stock index is at 725. 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 one-month holding-period return if the initial margin on the contract is $15,000. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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