Mr. Bond buys five S&P E-mini index futures with 4 months to maturity. The current index level is 1545 and the risk-free interest rate is 5% per year. (Note: S&P 500 E-mini index futures has a contract size of $50.)

a) If the index pays dividend with 2% yield per year, what is the fair price of the future when Mr. Bond buys the future?

b) Suppose Mr. Bond buys the future at the price in (a) and has to put $25,000 into the margin account for each futures contract he buys. The margin account pays interests at the risk-free rate. Whats the beta of Mr. Bonds futures investment?

c) Suppose the index futures price is 1588 when Mr. Bond buys the future. What would be your suggestion for Mr. Bond?