Case Exhibit 6 shows the prevailing futures prices (settle) for gold on 10/19/2012. Assume that the Oct-12 futures settle price of $1,722.8 is effectively the gold spot price. What total carry cost do you need to assume for the arbitrage-free futures prices to match the observed quoted Dec-12 futures prices? What would it need to be for the Feb-13 futures price?

Exhibit 6 BETTING ON GOLD USING A FUTURES-BASED GOLD ETF CMX Gold Futures (GC): Daily Settlements for October 19, 2012 Months to Expiration Prior Day Month OpenHigh Lo Change Settle Volume OCT-12 1,741. 1,74 ,721 NOV-12 1,742. 1,743. ,716.5 DEC-121,742.4 1,744.7 ,716 FEB-13 APR-13 1,748.3 1,748.3 ,722.5 -20.5 1,722.8 -20.7 1,723 252 70 472 20.7 ,72459,099 9,179 1,988 2,371 1,490 120 687 332,574 36,064 16,905 20,828 6,151 5,097 12,223 2,422 3,376 8,559 6,570 5,591 6,713 227 2,200 415 13 1,745 1,745.31,718.2 1,743 1,745.7 ,723 1,747,747 ,728.2 1,753753753 -20.8 1,726.1 -20.8 ,728 -20.9 1,729.9 1,731.7 -21.2 1,733.6 -214 1,735.7 -21.5 1,738.1 -21.6 1,740.4 -21.7 1,742.9 -22 1,751.1 -22.3 1,760.4 -22.5 1,770.8 -22.5 1,781.5 22.5 1,793.7 -22.5 1,808.5 -22.5 1,825.3 22.5 1,846.7 4 10 12 14 16 18 20 26 32 38 AUG-13 1,752. 1,752.1 1,729.7-21 OCT-13 DEC-13 1,752.9 1,752.9 1,730.6 FEB-14 APR-14 JUN-14 DEC-14 JUN-15 DEC-15 JUN-16 DEC-16 JUN-17 DEC-17 JUN-18 1,855.0 1,855.0 1,850.0 50 56 62 68 5.0 Notes: Open, High, Low, and Settle prices are in USD per troy ounce. Settle- the settlement price just before the final bell each day (used for the daily settlement process). Volume the number of traded contracts in the day. Open interest = the total number of contracts outstanding (equal to the number of long