Question #2 The table below shows the daily closing values of the Dow Jones Industrial Average (DJIA) index, along with the daily prices for the DJIA futures contract with maturity date October 19 of the same year. The futures contract size is $10 times the DJIA index value. Aug 27, 2019 Aug 28, 2019 Aug 29, 2019 DJ Industrial Average DJIA Futures Price 8, 174.73 8, 136.00 8,375.45 8, 336.50 8, 149.01 8, 112.00 The initial margin required for the futures contract is $13,750/contract. The maintenance margin is $11,000/ contract. The risk free rate is 1% per year (continuously compounded). Assume this is the rate you earn on your margin account. (a) Suppose you take a long position in 10 futures contracts on Aug 27. What is your profit/loss on Aug 28 and Aug 29? What is the balance in your margin account at the end of each of these days? Do you face any margin calls? (b) Repeat part (a) for a short position of 5 futures contracts. (c) Using the Aug 29 index value and futures price, what is the implied dividend yield on the DJIA? (Assume that the futures price is the same as the equivalent forward price.) (d) For the three days shown, the index value is larger than the futures price. Why? Question #2 The table below shows the daily closing values of the Dow Jones Industrial Average (DJIA) index, along with the daily prices for the DJIA futures contract with maturity date October 19 of the same year. The futures contract size is $10 times the DJIA index value. Aug 27, 2019 Aug 28, 2019 Aug 29, 2019 DJ Industrial Average DJIA Futures Price 8, 174.73 8, 136.00 8,375.45 8, 336.50 8, 149.01 8, 112.00 The initial margin required for the futures contract is $13,750/contract. The maintenance margin is $11,000/ contract. The risk free rate is 1% per year (continuously compounded). Assume this is the rate you earn on your margin account. (a) Suppose you take a long position in 10 futures contracts on Aug 27. What is your profit/loss on Aug 28 and Aug 29? What is the balance in your margin account at the end of each of these days? Do you face any margin calls? (b) Repeat part (a) for a short position of 5 futures contracts. (c) Using the Aug 29 index value and futures price, what is the implied dividend yield on the DJIA? (Assume that the futures price is the same as the equivalent forward price.) (d) For the three days shown, the index value is larger than the futures price. Why