Question 17 4 points Saved A, B and C are three commodities traded on a futures exchange. On April 1, the settlement prices of their June and December futures contracts are given as: A B JUNE 100 200 500 DECEMBER 106 212 526 Assume that in equilibrium tFT2=tF11 (1 + T11T2 ) + T1CT2 holds. If the 6-month June - December T-Bill rate is 5%, (i.e. 10%/2) and the 6-month storage fees for A, B and C are $1, $2 & $3 respectively, the convenience values for A, B and C respectively are: 0,0,0 2,0,2 0, 0,2 o 2, 2, 2 Question 19 Assume tFT2 = {FT1 (1 + T1/T2) + T1CT2 is the equilibrium situation. Also assume that T2-T1 is one year, that T1CT2 = $3 and that T1 T2 = 10%. = What statement is true about the following 2 prices: 4F T1 = 100 & FT2 = 133? = they are not equilibrium prices since there is an arbitrage profit of 22 O they are equilibrium prices they are not equilibrium prices since there is an arbitrage profit of 20 O they are not equilibrium prices since there is an arbitrage profit of 18 O Question 20 4 points Saved An elevator operator typically purchases huge amounts of grain from farmers. Assume the following prices. Date Spot Price /Bu March Futures Price September 1 $2.10 $2.34 October 1 $2.05 $2.20 November 1 $2.20 $2.38 It costs the elevator $0.05/Bu/month to store the grain. An elevator purchases grain from a farmer on September 1 at 3 cents under the spot and immediately sells it for 1 cent over the spot price. What is the total profit, from both the spot and futures markets, per bushel of the elevator operator? a loss of 6 cents none of these other answers are correct a loss of 6 cents O a gain of 5 cents a gain of 4 cents Question 17 4 points Saved A, B and C are three commodities traded on a futures exchange. On April 1, the settlement prices of their June and December futures contracts are given as: A B JUNE 100 200 500 DECEMBER 106 212 526 Assume that in equilibrium tFT2=tF11 (1 + T11T2 ) + T1CT2 holds. If the 6-month June - December T-Bill rate is 5%, (i.e. 10%/2) and the 6-month storage fees for A, B and C are $1, $2 & $3 respectively, the convenience values for A, B and C respectively are: 0,0,0 2,0,2 0, 0,2 o 2, 2, 2 Question 19 Assume tFT2 = {FT1 (1 + T1/T2) + T1CT2 is the equilibrium situation. Also assume that T2-T1 is one year, that T1CT2 = $3 and that T1 T2 = 10%. = What statement is true about the following 2 prices: 4F T1 = 100 & FT2 = 133? = they are not equilibrium prices since there is an arbitrage profit of 22 O they are equilibrium prices they are not equilibrium prices since there is an arbitrage profit of 20 O they are not equilibrium prices since there is an arbitrage profit of 18 O Question 20 4 points Saved An elevator operator typically purchases huge amounts of grain from farmers. Assume the following prices. Date Spot Price /Bu March Futures Price September 1 $2.10 $2.34 October 1 $2.05 $2.20 November 1 $2.20 $2.38 It costs the elevator $0.05/Bu/month to store the grain. An elevator purchases grain from a farmer on September 1 at 3 cents under the spot and immediately sells it for 1 cent over the spot price. What is the total profit, from both the spot and futures markets, per bushel of the elevator operator? a loss of 6 cents none of these other answers are correct a loss of 6 cents O a gain of 5 cents a gain of 4 cents
