A) Let F 1 t and F 2 t denote the prices of E-mini SPX futures contracts with 1M and 2M maturities, respectively. Use the futures spot parity formula to derive a formula that expresses the price of one of these as a function of the other. Use the formula from Q5 to answer the following two questions:

B) Suppose the price of the one month SPX futures goes up $ 5 from one day to the next. Assume that interest rates and dividend yields did not move, what is the change in the price of the 2 month maturity futures?

C) Youre short 10 contracts of the 1M maturity and long 10 contracts of the 2M maturity. Which of the following statements are correct: 1. If interest rates go up, you make money 2. If dividend yields go up, you make money 3. Before the 1M contract expires, as time passes, the position makes money