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As of April 11, 2022 the dividend yield on the S&P500 index is 1.75% annually, the riskless US interest rate is 1% annually for all
- As of April 11, 2022 the dividend yield on the S&P500 index is 1.75% annually, the riskless US interest rate is 1% annually for all maturities. Then, unless arbitrage opportunities arise:
- The S&P500 spot level is lower than the June 2022 futures price.
- Longer maturity futures contracts have higher prices than shorter maturity futures contracts.
- The S&P500 spot level is higher than the June 2022 futures price.
- The S&P500 spot level equals the June 2022 futures price.
- None of the above are true.
- The S&P500 spot level is lower than the June 2022 futures price.
- Longer maturity futures contracts have higher prices than shorter maturity futures contracts.
- The S&P500 spot level is higher than the June 2022 futures price.
- The S&P500 spot level equals the June 2022 futures price.
- None of the above are true.
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Standards Of Value
Authors: Jay E. Fishman, Shannon P. Pratt, William J. Morrison
2nd Edition
1118138538, 978-1118138533
