Question
Assume the initial margin for S&P 500 Index futures is $30,938 per contact. A fund manager buys 100 contracts at an initial index value of
Assume the initial margin for S&P 500 Index futures is $30,938 per contact. A fund manager buys 100 contracts at an initial index value of 2,875.After 6 months, the index has risen to 3,000. The contract multiplier is $250. Assume the manager finances her margin deposit at one-year Libor, which is 3.375%.The fund manager's total return is closest to:
A.$3,125,001
B.$2,977, 782
C.$3,035,721
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Financial Markets and Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
5th edition
321280299, 321280296, 978-0321280299
