6. An S&P 500 index futures contract pays $250 times the value of the index. In this problem, suppose there is an S&P 500 index futures contract that expires in March.

ONLY ANSWER PARTS (C) AND (D) PLEASE. ANSWERS TO (A) AND (B) ARE PROVIDED.

a) Suppose the closing price of the March futures contract is 963.30. What is the dollar value of this futures contract? Answer: Dollar value of future contract = closing price of futures contract*multiplier = $963.30*$250 = $240,825

b) If the margin requirement is 10% of the futures price times the multiplier of $250, how much must an investor deposit with his/her broker in order to go long on the March contract? Answer: Margin to be deposited = closing price of futures contract*multiplier*margin requirement = $963.30*$250*10% = $24,082.50

c) If the futures price rises to $975.00, what is investors gain in value from his/her long position?

d) What is his/her percentage return (assuming he/she maintains the minimum margin requirement?