Problem 22-7 Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. a. If the margin requirement is 21% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the March maturity contract? (Round your answer to the nearest whole dollar.) Required margin deposit b. If the March futures price increases to 2606.50, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Percentage return on net investment c. If the March futures price falls by 1%, what is your percentage return? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.) Percentage return on net investment % Open -219 2910 Futures Contracts I wss.com commodities Contract Open Open High No low Settle Chg Metal & Petroleum Futures Contract Coffee (ICE-US)-37.500 lbs. cents per lb. Open High hilo low Settle Che March 101.50 108.45 A 101.15 102.75 1.15 127,138 Copper High (CEO) 25,000 lbs: $ per lb. May 104.40 106.55 A 104.30 105.75 1.10 60.630 2.6445 2.6460 26410 2.640 -0.0105 1.756 Sugar World (CEUS-112,000 lbs. con perib March 11.95 1267A 11.94 March 26500 2659526315 12.65 389.965 2.6370-00105 May 12.04 12.73 A 12.03 12.72 JO 180 201 Gold CX-100 troy or per troy Jan Sugar Domestic (ICE US-112.000 seperti 1286.80 410 March 25.40 Feb 25.40 04 2.718 1287.00 1297.00 1284.10 25.40 A 25.34 1229.90 4.10 302.111 25.50 June 1266 90 1309.00 1298.50 May 4.20 25.50 25.54 A 25.50 --01 1302.00 2.455 Aug 1310.00 1315.10 1307.80 1309.00 410 10.17 Cotton (ICE-US) 50,000 lbs. cont perb Dec 1317.60 1326.801317.60 410 March 9,830 1321.50 7252 73.92 72.48 72.75 23 126.870 Feb 20 1327.50 133100 1327.30 1327.70 4.20 3.000 Mary 73.9 7523 A 73.12 74.10 16 390 Palladium (NY) 50 troyos, 5 portray 2. Orange Juice ICE US 15.000 lbs: cents per ib. March 1242.40 1249.46 A 1230.80 1240.20 580 24,7 12120122.00 121.15 121.95 65 582 June 1226.20 1231.901216.10 1224.30 4.70 3313 March 122.75 12480 122.5 123.85 55 14.103 Platinum iNYM) 50troyoper troy Jan 82420 825.40 A 821.00 Interest Rate Futures 818.40 -360 April 827.20 35.50 A $23.30 82430 -2.50 85,961 Treasury Bonds CBT) $100.000 pes 32nds of 100% Silver (CMX-5.000 broyo per troy March 145-230 147-170 146-040 146-160 -12.0 9449.902 Jan 15.750 15.750 15.750 15669 -0.026 June 146-160 146-190 145-300 145-270 March 15.800 15.880 15.680 15.756 -0.030 142,916 Treasury Notes (CET)$100,000 ps 32nds of 100% Crude Oil, Light Sweet NYM-1.000 is: $ per tal March 122-060 122-150 121-250 122-015 -3.0 4.102.583 Feb 4822 49.79 4811 056 357400 June 122-150 122-240 122065 122-105 -75 2.418 March 5011 A 43.44 319.791 5 Yr. Treasury Notes (CRT) $100.000 pts 32nds of 100% April 50.47 48.80 48.17 0.52 136,250 March 114.215 114280 114-155 114-187 -5.5 4.590,715 May 050 115.849 2 Yr. Treasury Notes (CBT) $200,000, pts 32nds of 100% Lune 49.79 51.33 49.72 0.00 229.259 March 106-045 106-065 06-010108-025 -2.7 2.552.998 Dec 51.32 52.77 5130 51.48 0.40 191,808 NY Harbor ULSD (NY)-12.000 gal: $ pergal 30 Day Federal Funds (CHD)-$5.000.000: 100-daily ng 97.600 97.600 97 598 - 002 317.562 Feb 1.7775 1.8245 A 1.7764 1.7784 0090 109,341 97.606 97615 97.600 97.605 -005 31.713 March 1.7601 1.8160 A 1.7690 1.7714 0104 73.518 10 Yr. Del. Int. Rate Swaps (CBT) $100.000pts 32nds of 100% Gasoline NY RBOB (NY) 42,000 gal: 5 pergal March 102.766 102.797 102.297 102.391 27.938 Feb 1.3408-0070 120,856 1 Month Libor (ME) $3.000.000pts of 100% March 13716 1.400 1.3524 1.3541-0077 88.591 97.4875 0075 535 Natural Gas NYH-10.000 MM: Sper MB Eurodollar (CMI)-51.000.000, pts of 100% Feb 2012 2.994 2.944 -100 174.250 Jan 97.2800 97.2375 97.2250 97.2300 0050 268383 March 2812 2.888 2.793 2.847 270,970 April 2650 March 97.2850 97.315097.2850 97.3000 00501429.121 2.708 2.640 2677 May 2637 148.613 Iune 97.3050 973450 97 2900 97.3150 2.667 2.625 2662 -0 132 474 Dec My 2718 2.765 2.700 2.746-007 62,540 97.3650 974100 97.325097.3550 - 1250 1.740.407 Oct 2.710 2.761 2.600 2.751 -016 105445 Currency Futures Agriculture Futures Japanese Yen (CHE) 12.500.000 $ per 1004 Jan 9228257 9211 Cor (CBT) 5,000 bucets per bu 9213 - 0000 1190 March 92729310 March 382.25 34.00 38175 382.25 9259-0000 751,542 222.921 - 75 July 397.50 30.00 A 397.00 397 50 -75 242,635 Canadian Dollar (CMO-CAD 100,000 $ per CAD 7479 .7580 A 7479 0054 723 Oats (CBT) 5,000 bucurs per bu March 7484 March .7544 A7484 0054 7533 279.50 280.25 279.50 106.071 276.50 May 279.50 279.50 27400 276.00 British Pound (CME) 62.500.5 per 1.2747 1.2775 A 1.2729 1.2775 Soybeans (CBT)-5.000 buscents per bu 0001 2616 1.2780 1.2832 A 1.2754 1.2815 0031 909.50 915.75 A 90950 Jan 204679 912.25 2.75 March $21.00 27.75 A 920.75 924.25 2.75 337323 Swiss Franc (CME) CHF 125.000 $ per CHF March 1.0206 1.0285 1.0200 1.0277 0071 66.727 Soybean Meal (CBT)-100 tons. $ perton 1.0330 10369 A 10292 1.0368 0071 Jan 31600 319.30 A 216.00 3.10 318.20 1.790 March 319.40323.30 A 319.20 322.20 Australian Dollar (CHE-AUD 100.000 per AUD 193.399 Jan 7125 71507124 3143 0026 331 Soybean OCBT) 60,000 lbs: cents perb Feb 7135 Jan .7148 7135 3147 28.55 A 28.20 28.26 -15 972 March .71587122 March 0025 28.80 A 28.47 28.51 -13 3150 219516 124.074 714471497144 J153 0026 253 Rough Rice (CBT) 2,000 cnt: 5 perc Aine 7133 7160 2133 7160 0027 March 1048.00 1089.00 A 1048.00 1066.50 18.50 7,154 Sept.7147,7161 2147 J169 0026 121 May 1071.50 1063.50 A 10750 1082.50 Mexican Peso (CM)-MXN 500,000 $ per MXN Wheat CBT) 5,000 bucents per bu March 05107 05129 A 05084 0511300014 161111 March 518.00 518.50 513.50 516.75 - 25 229,028 June 04890 04905 A04887 05035 00013 35 53050530.50 525 50 527.00 -250 76,657 Euro (CME) 125.000: 5 per Wheat KC5,000 bucurs per bu 1.1415 1.1488 1.1415 1.1456 0079 1938 March 50625 50725 500 50 503.00 March 1.1475 1.1551 1.1471 1.1547 0079 489.919 May 517.50 5185 512.00 514.50 -300 55.722 Wheat (HPLS5.000 bucents per bu Index Futures March 570 25 372.00 568.00 -2.25 33.967 Mini DJ Industrial Average (CBT)-55 X Index May 575.50 572.25 570.75 573.25 13,177 March 23470 2368 23279 23512 117 72.535 Cattle-Feeder (CME) 50,000 lbs. cents perb Dec 23523 23686 A 23350 23530 118 544 Jan 144.600 146.325 144.200 148.000 1100 S&P 500 Index (CHE) $250 X index March 142.150 144.425 142.000 143.900 1075 25,193 March 2536.702567.00 A 2525.00 2550.60 19.30 30.216 Cattle-Live (CHE-40,000 lbs: cents perb Mini S&P 500 (CM) 150 X index Feb 121.800 123.400 121.425 129.200 129,414 March 2537 25 256750 A 2523.25 2550.50 19.20 2.634 252 April 123.850 125.375 7 123.500 125.075 1075 115,863 June 2540 25 2571.25 A 252850 2555.00 27.554 Hogs-Lean (CHE-40,000 lbs.:cents per lo Mini S&P Midcap 400 CCHE-S 100 x index Feb 61.950 62.150 61.250 61.900-050 79,843 March 1890.001717.10 A 1679.20 1709.30 17.10 19.226 April 66.700 66.900 65.25 66375 - 375 60,839 Mini Nasdaq 100 CHE 520 x Index Lumber (CM-110,000 bdit: $ per 1,000 bd. It March 64513 655 64025 6496.5 625 196948 Jan 325 2026 20 32100 324.80 398 1.20 64715 65570 A 64270 6520.8 1350 March 332 20 333.00 330.80 50 2.724 Mini Russell 2000 CME)-50 X index Milk CME) 200,000 lbs.:cents perb 2430 Jan 14.16 March 1384.40 1414.60 A 1375.80 1405.90 14.26 14.12 14.14 -11 4.391 June 25.00 Feb 14.72 1391.60 141790 A 1386.801410.50 14.73 1455 14.57 -17 4,025 Mini Russell 1000 KCME) 350 x index Cocoa (ICE-US-10 metric tons: $ perton. 10.70 March 2413 7.654 22 March 1402.00 1418.90 1402.00 1409.80 2.356 2410 49 May 2.395 2.449 U.S. Dollar Index (CE-US-$1.000 x index 2.394 2.447 49 96.71 95.73 96.20 95.23 57.402 June 95.00 95.08945 94.74 -51 945 7522 A 3422 ne 120