Open Contract High hilo low Settle Chg Open interest -65137 -.85 99,385 .09 10 475,726 210,447 Coffee (ICE-US)-37,500 lbs., cents per lb. July 145.60 145.60 143.00 144.20 Sept 146.20 147.20 144.10 145.55 Sugar-World (ICE-US)-112,000 lbs.: cents per lb. Oct 20.56 21.10 2 0.46 20.87 March 17 20.56 21.13 20.55 20.94 Sugar-Domestic (ICE-US)-112.000 lbs.: cents per lb. Sept 28.25 28.25 28.05 28.05 Jan'17 27.00 27.00 A 27.00 26.65 Cotton (ICE-US)-50,000 lbs., cents per lb. July 62.92 62.92 62.92 63.75 Dec 65.50 66.14 64.25 65.21 Orange Juice (ICE-US)-15,000 lbs., cents per lb. July 185.00 187.65 A 185.00 186.65 Sept 177.20 185.00 A 174.60 183.60 -16 -38 1,480 1.416 49 13 .22 150,428 5.80 5.35 579 14.113 492 Futures Contracts I WSJ.com/commodities Metal & Petroleum Futures Contract Open Open High hilo low Settle Chg interest Copper High (CMX)-25,000 lbs.: $ per lb. July 2.2290 2.2455 2.1615 2.1815 -0.0335 3,552 Sept 2.2300 2.2480 2.16202.1835 -0.0335 108,854 Gold (CMX)-100 troy oz. $ per troy oz. July 1342.20 1356.80 1339.70 1356.40 19.70 2,070 Aug 1345.00 1360.30 1338.50 1358.70 19.70440,422 Oct 1345.00 1363.50 1345.00 1362.20 19.70 37,171 Dec 1352.10 1366.90 1345.70 1365.80 19.80 106,265 Feb'17 1353,30 1369,10 A 1353.30 1368.90 19.90 15,796 June 1365.00 1373.80 1357.30 1374.30 20.00 12,523 Palladium (NYM)-50 troy oz: $ per troy oz. Aug 609.00 609.00 A 609.00 609.85 -3.00 Sept 605.65 617.40 590.60 602.65 -3.00 21,127 Dec 609.65 612.80 598.05 603.35 -2.90 Platinum (NYM)-50 troy oz.: $ per troy oz.. July 1064.60 1073.20 1052.00 1072.00 17.70 635 Oct 1062.00 1079.30 1050.20 1076.90 19.80 58,916 Silver (CMX)-5,000 troy oz: $ per troy oz. July 19.755 21.095 A 19.625 19.866 0.322 1,989 Sept 19.840 21.225 19.610 19.907 0.319 159,362 Crude Oil, Light Sweet (NYM)-1,000 bols: $ per bbl. Aug 49.11 49.35 46.33 46.60 -2.39418,068 Sept 49.90 50.03 47.00 47.29 -2.36 282,684 Oct 50,45 50.62 47.61 47.91 -2.34 106,633 Nov 50.92 51.20 48.51 48.51 -2.31 108,604 Dec 51.59 51.75 49.07 49.07 -2.27 244,771 Dec'17 54.24 54.40 51.94 52.27 -1.82 140.180 NY Harbor ULSD (NYM)-42.000 gal: $ per gal. Aug 1.5174 1.5258 1.4333 1.4456 -0659 93.236 March 1.5343 1.5444 1.4548 1.4673 -.0637 66,430 Gasoline-NY RBOB (NYM)-42,000 gal: $ per gal. Aug 1.5176 1.5249 1.41571.4287 -0848 118,778 Sept 1.5223 1.5317 1.42741.4413 - 0787 78,861 Natural Gas (NYM)-10,000 MMBtu.: $ per MMBtu. Aug 2.915 2.9452 .752 2.764 -223 212,803 Sept 2.915 2.944 2.752 2.758 -.223 216,642 Oct 2.960 2.931 2.798 2.802 -.211 111,498 Nov 3.065 3.115 2.946 2.955 -187 65,908 Jan'17 3.410 3.472 3.327 3.341 - 151 108,006 March 3.335 3.395 3.268 3.284 - 131 62.935 Interest Rate Futures Treasury Bonds (CBT) $100,000: pts 32nds of 100% Sept 174-130 176-130 173-240 176-0802-18.0 559,142 June 172-280 174-270 172-140 174-1202-19.0 Treasury Notes (CBT)-$100,000: pts 32nds of 100% Sept 133-095 133-315 133.000 133-285 26.0 2.777,302 Dec 132-200 133-020 132-200 133-000 27.0 2,637 5 Yr. Treasury Notes (CBT) $100.000: pts 32nds of 100% Sept 1222-075 122-185 122-027 122-155 -11.0 2,644,19 2 Yr. Treasury Notes (CBT) $200,000: pts 32nds of 100% Sept 109-210 109-235 109.197 109-227 2 .5 1.081.786 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. July 99.615 99.618 99.615 99.618 -.002 193,832 Aug 99.625 99.625 99.620 99,625 -.005 167,407 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000: pts 32nds of 100% Sept 108.750 108.875 108.469 108.781 781 25,579 1 Month Libor (CME)-$3,000,000: pts of 100% July 99.5450 99.5450 99.5425 99.5375 .0025 1,602 Aug 99.5300 99.5300 99.5300 99.5375 .0025 870 Eurodollar (CME)-$ 1.000.000: pts of 100% July 99.3600 99.3600 99.3500 99.3500 -.0100 189,055 Sept 99.3500 99.355099.3350 99.3450 -.0050 1.198,322 Dec 99.3 100 99.3200 99.2950 99.3200 .0100 1,347,476 Dec'17 99.1600 99.2150 99.1350 99.2050 -0550 1,178,481 -9.00 -9.25 7,872 563,370 10.50 -1.25 108 5,696 216,881 -51.75 -60.25 5,672 428,587 Currency Futures Japanese Yen (CME)- 12,500,000: $ per 100% Sept 97699881 9750 9871 .0092 146,909 Dec 9800 9913 9786 9 905 .0093 620 Canadian Dollar (CME)-CAD 100,000; $ per CAD Sept 7 746 7795 7682 7701 -.0043 111,561 Dec 7746 7793 .7686 7702 - 0042 3,681 British Pound (CME)-62,500: $ per Sept 1.3285 13351 1.3010 1.3037 -0256 Dec 1.3330 1.3366 1.3029 1.3054 -.0254 1,575 Swiss Franc (CME-CHF 125.000: $ per CHE Sept 1.0307 1.0368 1.0271 1.0273 -0038 34,888 Australian Dollar (CME)-AUD 100,000: $ per AUD Sept .7441 7527 7433 .7440 -.0023 71,326 Dec 746975007413 .7417 -.00231,053 Mexican Peso (CME)-MXN 500,000: $ per MXN Dec 05333 05422 0533005226 - 00118 242 Euro (CME)-125,000: $ per Sept 1.1165 1.1216 1.1092 1.1101 - 0065 343,690 Dec 1.1198 1.1254 1.1131 1.1140 - 0064 4.523 -19.40 - 20.00 3,886 162.712 -21 -32 2,732 172,625 70 -8.00 - 14.00 7,702 Agriculture Futures Corn (CBT)-5,000 bu.: cents per bu. July 348.00 350.00 V 333.75 344.00 Sept 356.25 356.50 341.00 350.75 Oats (CBT)-5,000 bu., cents per bu. July 208.00 208.50 205.25 216.00 Dec 192.00 193.75 7 188.25 191.50 Soybeans (CBT)-5,000 bu., cents per bu. July 1150.25 1150.25 1110.00 1117.00 May 1120.00 1120.00 1073.50 1077.25 Soybean Meal (CBT)-100 tons.: $ per ton. July 399.20 399.20 383.00 385.40 Dec 391.50 391.70 378.00 378.00 Soybean Oil (CBT)-60,000 lbs.: cents per lb. July 31.03 31.37 30.52 30.82 Dec 31.85 31.99 31.01 31.32 Rough Rice (CBT)-2.000 cwt., cents per cwt. July 1032.00 1036.00 1020.00 1028.50 Sept 1042.00 1054.00 1024.00 1031.00 Wheat (CBT)-5.000 bu, cents per bu. July 416.25 418.25 405.00 419.50 Sept 430.25 434.50 415.75 433.50 Wheat (KC)-5,000 bu.: cents per bu. July 391.00 398.75 385.00 402.00 Sept 500.00 509.25 493.75 508.25 Cattle-Feeder (CME)-50,000 lbs.: cents per lb. Aug 142.575 144.475 139.750 144.075 Sept 141.675 143.650 139.150 143.350 Cattle-Live (CME)- 40,000 lbs., cents per lb. Aug 113.050 114.225 111.075 113.650 Oct 113.375 114.475 111.150 114.000 Hogs-Lean (CME) 40,000 lbs., cents per lb. July 82.750 83.650 81.950 82.050 Aug 83.950 84.825 82.175 83.250 Lumber (CME)-110,000 bd.ft: $ per 1.000 bd. ft. July 308.50 317.50 306.30 317.50 Sept 315.10 325.00 311.60 3 22.80 Milk (CME)-200,000 lbs., cents per lb. July 15.05 15.08 14.89 14.97 Aug 15.98 15.98 15.59 15.70 Cocoa (ICE-US)-10 metric tons: $ per ton. July 3,104 3.104 3,104 3,104 Sept 3,010 3,069 2,964 3,065 3.25 3.25 249,335 -104 -104 103,682 290 7.75 8.25 799 27,512 -13.55 2,964,059 - 13.65 12,960 1.625 24,745 5,964 -18.50 -18.50 79,923 .675 .725 115,581 64,211 Index Futures Mini DJ Industrial Average (CBT)-$5 x Index Sept 17880 17924 17689 1 7762 Dec 17780 17807 1 7601 17668 Mini S&P 500 (CME)-$50 x Index Sept 2099.75 2104.75 2072.50 2082.70 Dec 2089.50 2095.75 2064.00 2074.10 Mini S&P Midcap 400 (CME) $100 x Index Sept 1499.50 1503.70 1469.80 1478.20 Dec 1486.00 1486.00 1486.00 1472.00 Mini Nasdaq 100 (CME) $20 x Index Sept 4438.8 4451.5 4377.5 4404.0 Dec 4429.8 4442.0 4371.3 4396.5 Mini Russell 2000 (ICE-US)-$100 x Index Sept 1155.10 1155.10 1128.90 1135.40 Dec 1153.30 1153.30 1149.90 1130.40 Mini Russell 1000 (ICE-US)-$100 x Index Sept 1152.10 1154.40 1146.80 1151.90 U.S. Doller Index (ICE-US-$1,000 x Index Sept 95.63 96.34 95.38 96.26 Dec 95.7596.34 95.4796.30 -29.3 -28.3 197,945 322 -625 - 700 17,601 93,143 329,992 -18.80 -18.80 933 7.80 554 3,152 -8.70 5,307 5,449 -19 4,689 .55 45,977 2.405 70 24 91,001 The multiplier for a futures contract on a stock market index is $55. The maturity of the contract is 1 year, the current level of the index is 1,810, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.2% per month. Suppose that after 1 month, the stock index is at 1,830. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Cash flow b. Find the holding-period return if the initial margin on the contract is $5,100. (Round your answer to 2 decimal places.) Holding period return