Question
Bitcoin futures are listed on CME under the ticker symbol BCT and equals five bitcoins with one tick set to $5 per Bitcoin. The Maintenance
Bitcoin futures are listed on CME under the ticker symbol BCT and equals five bitcoins with one tick set to $5 per Bitcoin. The Maintenance Margin is the amount required to carry a contract past the daily close (as a percentage of the price). For one contract, the Maintenance Margin is 140% and the daily margin is 7%.
- Yesterday, the mid-price of the March contract (March 1st) was 39,400$ while the spot was 38,780$. Using the fair-value formula, find the discount rate. What can explain this result?
- How much does one need on their account if they want to trade 5 Bitcoins?
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Portfolio Performance Measurement And Benchmarking
Authors: Jon Christopherson, David Carino, Wayne Ferson
1st Edition
0071496653, 978-0071496650
