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8. (10 points) Consider an investment that is long ten S&P 500 Index futures contracts at a price of $2,700.00. The initial margin requirement is

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8. (10 points) Consider an investment that is long ten S&P 500 Index futures contracts at a price of $2,700.00. The initial margin requirement is $36,000 per contract and the maintenance margin is $30,000 per contract. The risk-free rate is zero. (a) (5 points) What is the notional value of your long exposure to the S&P 500 index? (b) (5 points) Upon opening the position you deposit the minimum initial margin re- quired in your futures trading account. At what S&P 500 futures price will a margin call occur

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