An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three months. The S&P 500 index currently trades at St = $4, 538.43. (As of 3-Dec-21.) Regarding contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally, the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures contract is currently trading at Ft(T) = $4, 531.25 (actual settlement price for the Mar-22 contract on 3-Dec-21). Given this information, address the following two questions.

Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r? (a) -0.012 (b) 0.012 (c) 0.014 (d) -0.0370

Which of the following scenarios would lead to a margin call? (a) The next day futures price drops to $4,416.33 (b) The next day futures price increases to $4,560.33 (c) The next day futures price drops to $4,516.53 (d) The next day futures price increases to $4,550.55