Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. a. If the margin requirement is 25% 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 2603.70, 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 % Contract Open High hilo low Settle Open interest Chg Open interest 1.756 138,638 12.72 2,455 353 302.111 43,689 10,837 9,830 3,090 24.797 3,313 261 85,951 820 142,916 367 400 319,791 136,259 115,849 229,259 191,808 51.48 109,341 73,598 120,856 88,591 97.4875 2.994 2.944 174,258 270,970 148,613 132 474 62,540 105,445 -- 1.252,674 Futures Contracts I WSJ.com/commodities Metal & Petroleum Futures Contract Open High hilo low Settle Chg Copper-High (CMX)-25,000 lbs.: $ per lb. Jan 2.6445 2.6460 2.6410 2.6410 -0.0105 March 2.6500 26595 2.6315 2.6370 -0.0105 Gold (CMX0-100 troy oz: $ per troy oz. Jan 1284 90 1286.80 4.10 Feb 1287.00 1297.00 1284.10 1289.90 4.10 June 1298.90 1309.00 1298.50 1302.90 4.20 Aug 1310.00 1315.10 1307.80 1309.00 4.10 Dec 1317.60 1326.80 1317.60 1321.50 4.10 Feb 20 1327.90 1331.00 1327.30 1327.70 4.20 Palladium (NYM)-50 troy oz; $ per troy oz. March 1242.40 1249.40 A 1230.80 1240.20 5.80 June 1226.20 1231.90 1216.10 1224.30 4.70 Platinum (NYM)-50 troy oz.: $ per troy oz. Jan 824.20 825.40 A 821.00 A 818.40 -3.60 April 827.20 836.50 A 823.30 824.30 -2.90 Silver (CMX-5,000 troy oz; $ per troy oz. Jan 15.750 15.750 A 15.750 15.669 -0.026 March 15.800 15.880 15.680 15.756 -0.030 Crude Oil, Light Sweet (NYM)-1,000 bbls.: $ per bbl. Feb 48.22 49.79 A 48.11 48.52 0.56 March 48.49 50.11 A 48.44 48.82 0.54 April 48.85 50.47 A 48.80 49.17 0.52 May 49.32 50.90 A 49.32 49.60 0.50 June 49.79 51.33 A 49.72 50.04 0.48 Dec 51.32 52.77 A 51.30 0.40 NY Harbor ULSD (NYM)-42,000 gal.: $ per gal. Feb 1.7775 1.8245 1.8245 A 1.7764 1.7784 .0092 March 1.7691 1.8160 A 1.7690 1.7714 .0104 Gasoline NY RBOB (NYM)-42,000 gal.; $ per gal. Feb 1.3585 1.3945 1.3389 1.3408 -.0070 March 1.3716 1.4080 1.3524 1.3541 - 0077 Natural Gas (NYM)-10,000 MMBtu: $ per MMBtu. Feb 2.932 2.910 -100 March 2.812 2.886 2.793 2.847 -058 April 2.650 2.708 2.640 2.677 -2011 May 2.637 2.687 2.625 2.662 -002 July 2.718 2.765 2.708 2.746 -2007 Oct 2.710 2.761 2.698 2.751 -2016 Agriculture Futures Corn (CBT)-5,000 bu; cents per bu. March 382.25 382.25 384.00 A 381.75 382.25 -.75 July 397.50 399.00 A 397.00 397.50 -.75 Oats (CBT)-5,000 bu; cents per bu. March 279.50 280.25 276.50 279.50 -.50 May 279.50 279.50 274.00 276.00 -4.25 Soybeans (CBT)-5,000 bu.: cents per bu. Jan 915.75 A 909.50 912.25 2.75 March 921.00 921,00 927.75 A 920.75 924.25 2.75 Soybean Meal (CBT)-100 tons.; $ per ton. Jan 316.00 319.30 A 316.00 318.20 3.10 March 319.40 323.30 A 319.20 322.20 3.20 Soybean Oil (CBT)-60,000 lbs., cents per lb. Jan 28.47 28.55 A 28.26 28.26 - 15 March 28.70 28.80 A 28.47 28.51 -.13 Rough Rice (CBT)-2,000 cwt; $ per cwt. March 1048.00 1069.00 A 1048.00 1066.50 18.50 May 1071.50 1083.50 A 1071.50 1082.50 Wheat (CBT)-5,000 bu., cents per bu. 518.50 513.50 516.75 - 25 July 530.50 530.50 525.50 527.00 -2.50 Wheat (KC)-5,000 bu.; cents per bu. March 506.25 507.25 500.50 503.00 -3.00 May wa 517.50 518.75 512.00 514.50 -3.00 Wheat (MPLS)-5,000 bu.; cents per bu. March 570.25 572.00 565.50 568.00 -2.25 May 575.50 577.25 570.75 573.25 -2.25 Cattle-Feeder (CME)-50,000 lbs.; cents per lb. Jan 144.600 146.325 144.200 146.000 1.100 March 142.150 144.425 142.000 143.900 1.075 Cattle-Live (CME)-40,000 lbs.; cents per lb. Feb 121.800 123.400 V 121.425 123.200 1.275 April 123.850 125.375 V 123.500 125.075 1.075 Hogs-Lean (CME)-40,000 lbs., cents per lb. Feb 61.950 62.150 61.250 61.900 -.050 April 66.700 66.900 65.825 66.375 -.375 Lumber (CME-110,000 bd.ft; $ per 1,000 bd. ft. Jan 326.20 326.20 323.00 324.80 1.20 March 332.20 333.00 328.00 330.80 .90 Milk (CME)-200,000 lbs. cents per lb. Jan 14.16 14.26 14.12 14.14 -.11 Feb 14.72 14.73 14.55 14.57 - 17 Cocoa (ICE-US)-10 metric tons: $ per ton. March 2,362 2,413 2,356 2,410 49 May 2,395 2,449 2,394 2,447 49 751,642 242,635 Coffee (ICE-US)-37,500 lbs.: cents per lb. March 101.50 103.45 A 101.15 102.75 1.15 127,138 May 104.40 106.55 A 104.30 105.75 1.10 60,630 Sugar-World (ICE-US)-112,000 lbs., cents per lb. March 11.95 12.67 A 11.94 12.65 .72 389,965 M. May 12.04 12.73 A 12.03 .70 188,201 Sugar-Domestic (ICE-US)-112,000 lbs., cents per lb. March 25.40 25.40 25.40 A 25.34 25.40 .04 2,718 May 25.50 25.54 A 25.50 25.50 -.01 Cotton (ICE-US)-50,000 lbs., cents per lb. March 72.52 73.92 A 72.48 72.75 23 126,870 May 73.99 75.23 A 73.92 74.10 .16 39,088 Orange Juice (ICE-USH 15,000 lbs., cents per lb. Jan 121.20 122.00 121.15 121.95 .65 582 March 123.75 124.80 122.85 123.85 .55 14.103 Interest Rate Futures Treasury Bonds (CBT)-$100,000; pts 32nds of 100% March 146-230 147-170 146-040 146-160 -12.0 949,992 June 146-160 146-190 145-300 145-270 -13.0 61 Treasury Notes (CBT)-$100,000; pts 32nds of 100% March 122-060 122-150 121-290 122-015 -8.0 4.102,583 June 122-150 122-240 122-065 122-105 -7.5 2,418 5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100% March 114-215 114-280 114-155 114-187 -5.5 4,590,715 2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100% March 106-045 106-065 106-010 106-025 -2.7 2,552,998 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. Jan 97.600 97.600 V 97.598 97.598 -.002 317.562 April 97.605 97.615 97.600 97,605 -.005 310,713 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100% March 102.766 102.797 102.297 102.391 - 219 27.938 1 Month Libor (CME)-$3,000,000; pts of 100% Jan A .0075 535 Eurodollar (CME)-$1,000,000: pts of 100% Jan 97.2300 97.2375 97.2250 97.2300 .0050 268.383 March 97.2850 97.3150 97.2850 97.3000 .0050 1,429,121 June 97.3050 97.3450 97.2900 97.3150 Dec 97.3650 97.4100 97.3250 97.3550 -0250 1,740,407 Currency Futures Japanese Yen (CME) 12,500,000 $ per 100 Jan .9228 .9257 9211 9213-.0008 1,190 March .9272 .9310 .9247 9259 -0009 222,921 Canadian Dollar (CME)-CAD 100,000: $ per CAD Jan .7479 .7530 A 7479 .7522 .0054 723 March .7484 .7544 A .7484 .7533 .0054 *1*03 166,071 British Pound (CME) 62,500; $ per Jan 1.2747 1.2775 A 1.2729 1.2775 .0031 2,616 March 1.2780 1.2832 A 1.2764 1.2815 .0031 204,679 Swiss Franc (CME)-CHF 125,000: $ per CHF March 1.0206 1.0285 A 1.0200 1.0277 .0071 66,727 June 1.0330 1.0369 A 1.0292 1.0368 .0071 95 Australian Dollar (CME)-AUD 100,000 $ per AUD Jan .7150 A 7124 .7143 331 Feb .7135 .7148 A 7135 .7147 .0026 680 March .7129 .7158 A7122 .7150 .0026 124,074 April 7144 .7149 A 7144 .7153 .0026 253 June .7133 .7160 A 7133 .7160 .0027 661 Sept .7147 .7161 A 7147 .7169 0026 121 Mexican Peso (CME)-MXN 500,000 $ per MXN March .05107 05129 A .05084 .05113.00014 161,111 June .04890 04905 A .04887 05035 00013 35 Euro (CME)- 125,000 $ per Jan 1.1415 1.1488 1.1415 1.1486 .0079 1.938 March 1.1475 1.1551 1.1471 1.1547 .0079 489,919 Index Futures Mini DJ Industrial Average (CBT)-$5 X index March 23470 23668 A 23279 23512 117 72,535 Dec 23523 23686 A 23350 23530 118 544 S&P 500 Index (CME)-$250 x index March 2536.70 2567.00 A 2525.00 2550.60 19.30 39,216 Mini S&P 500 (CME)-$50 x index March 2537.25 2567.50 A 2523.25 2550.50 19.20 2,634,252 June 2540.25 2571.25 A 2528.50 2555.00 19.40 27.554 Mini S&P Midcap 400 (CME)-$100 x index March 1690.00 1717.10 A 1679.20 1703.30 17.70 69,276 Mini Nasdaq 100 (CME)-$20 x index March 6451.3 6535.8 A 6402.5 6496.5 62.5 196,948 June lune 6471.5 65570 A 6427.0 6520.8 63.8 1,350 Mini Russell 2000 (CME)-$50 x index March 1384.40 1414.60 A 1375.80 1405.90 24.30 465,350 June 1391.60 1417.90 A 1386.80 1410.50 25.00 Mini Russell 1000 (CME)-$50 x index March 1402.00 1418,90 1402.00 1409.80 10.70 7,664 U.S. Dollar Index (ICE-US)-$1,000 x index 95.71 95.73 95.20 95.23 -52 57,402 June 95.08 95.08 94.75 94.74 -.51 945 4,124 638 909.50 3,422 337,323 1,798 193,399 .7125 0026 972 219,566 7.164 102 18.50 March 518.00 229,028 76.657 182,341 55,722 33,947 13,177 8483 25,193 129,414 115,863 79,843 60,839 398 2,724 4,391 4,095 534 96,443 51,809 March Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. a. If the margin requirement is 25% 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 2603.70, 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 % Contract Open High hilo low Settle Open interest Chg Open interest 1.756 138,638 12.72 2,455 353 302.111 43,689 10,837 9,830 3,090 24.797 3,313 261 85,951 820 142,916 367 400 319,791 136,259 115,849 229,259 191,808 51.48 109,341 73,598 120,856 88,591 97.4875 2.994 2.944 174,258 270,970 148,613 132 474 62,540 105,445 -- 1.252,674 Futures Contracts I WSJ.com/commodities Metal & Petroleum Futures Contract Open High hilo low Settle Chg Copper-High (CMX)-25,000 lbs.: $ per lb. Jan 2.6445 2.6460 2.6410 2.6410 -0.0105 March 2.6500 26595 2.6315 2.6370 -0.0105 Gold (CMX0-100 troy oz: $ per troy oz. Jan 1284 90 1286.80 4.10 Feb 1287.00 1297.00 1284.10 1289.90 4.10 June 1298.90 1309.00 1298.50 1302.90 4.20 Aug 1310.00 1315.10 1307.80 1309.00 4.10 Dec 1317.60 1326.80 1317.60 1321.50 4.10 Feb 20 1327.90 1331.00 1327.30 1327.70 4.20 Palladium (NYM)-50 troy oz; $ per troy oz. March 1242.40 1249.40 A 1230.80 1240.20 5.80 June 1226.20 1231.90 1216.10 1224.30 4.70 Platinum (NYM)-50 troy oz.: $ per troy oz. Jan 824.20 825.40 A 821.00 A 818.40 -3.60 April 827.20 836.50 A 823.30 824.30 -2.90 Silver (CMX-5,000 troy oz; $ per troy oz. Jan 15.750 15.750 A 15.750 15.669 -0.026 March 15.800 15.880 15.680 15.756 -0.030 Crude Oil, Light Sweet (NYM)-1,000 bbls.: $ per bbl. Feb 48.22 49.79 A 48.11 48.52 0.56 March 48.49 50.11 A 48.44 48.82 0.54 April 48.85 50.47 A 48.80 49.17 0.52 May 49.32 50.90 A 49.32 49.60 0.50 June 49.79 51.33 A 49.72 50.04 0.48 Dec 51.32 52.77 A 51.30 0.40 NY Harbor ULSD (NYM)-42,000 gal.: $ per gal. Feb 1.7775 1.8245 1.8245 A 1.7764 1.7784 .0092 March 1.7691 1.8160 A 1.7690 1.7714 .0104 Gasoline NY RBOB (NYM)-42,000 gal.; $ per gal. Feb 1.3585 1.3945 1.3389 1.3408 -.0070 March 1.3716 1.4080 1.3524 1.3541 - 0077 Natural Gas (NYM)-10,000 MMBtu: $ per MMBtu. Feb 2.932 2.910 -100 March 2.812 2.886 2.793 2.847 -058 April 2.650 2.708 2.640 2.677 -2011 May 2.637 2.687 2.625 2.662 -002 July 2.718 2.765 2.708 2.746 -2007 Oct 2.710 2.761 2.698 2.751 -2016 Agriculture Futures Corn (CBT)-5,000 bu; cents per bu. March 382.25 382.25 384.00 A 381.75 382.25 -.75 July 397.50 399.00 A 397.00 397.50 -.75 Oats (CBT)-5,000 bu; cents per bu. March 279.50 280.25 276.50 279.50 -.50 May 279.50 279.50 274.00 276.00 -4.25 Soybeans (CBT)-5,000 bu.: cents per bu. Jan 915.75 A 909.50 912.25 2.75 March 921.00 921,00 927.75 A 920.75 924.25 2.75 Soybean Meal (CBT)-100 tons.; $ per ton. Jan 316.00 319.30 A 316.00 318.20 3.10 March 319.40 323.30 A 319.20 322.20 3.20 Soybean Oil (CBT)-60,000 lbs., cents per lb. Jan 28.47 28.55 A 28.26 28.26 - 15 March 28.70 28.80 A 28.47 28.51 -.13 Rough Rice (CBT)-2,000 cwt; $ per cwt. March 1048.00 1069.00 A 1048.00 1066.50 18.50 May 1071.50 1083.50 A 1071.50 1082.50 Wheat (CBT)-5,000 bu., cents per bu. 518.50 513.50 516.75 - 25 July 530.50 530.50 525.50 527.00 -2.50 Wheat (KC)-5,000 bu.; cents per bu. March 506.25 507.25 500.50 503.00 -3.00 May wa 517.50 518.75 512.00 514.50 -3.00 Wheat (MPLS)-5,000 bu.; cents per bu. March 570.25 572.00 565.50 568.00 -2.25 May 575.50 577.25 570.75 573.25 -2.25 Cattle-Feeder (CME)-50,000 lbs.; cents per lb. Jan 144.600 146.325 144.200 146.000 1.100 March 142.150 144.425 142.000 143.900 1.075 Cattle-Live (CME)-40,000 lbs.; cents per lb. Feb 121.800 123.400 V 121.425 123.200 1.275 April 123.850 125.375 V 123.500 125.075 1.075 Hogs-Lean (CME)-40,000 lbs., cents per lb. Feb 61.950 62.150 61.250 61.900 -.050 April 66.700 66.900 65.825 66.375 -.375 Lumber (CME-110,000 bd.ft; $ per 1,000 bd. ft. Jan 326.20 326.20 323.00 324.80 1.20 March 332.20 333.00 328.00 330.80 .90 Milk (CME)-200,000 lbs. cents per lb. Jan 14.16 14.26 14.12 14.14 -.11 Feb 14.72 14.73 14.55 14.57 - 17 Cocoa (ICE-US)-10 metric tons: $ per ton. March 2,362 2,413 2,356 2,410 49 May 2,395 2,449 2,394 2,447 49 751,642 242,635 Coffee (ICE-US)-37,500 lbs.: cents per lb. March 101.50 103.45 A 101.15 102.75 1.15 127,138 May 104.40 106.55 A 104.30 105.75 1.10 60,630 Sugar-World (ICE-US)-112,000 lbs., cents per lb. March 11.95 12.67 A 11.94 12.65 .72 389,965 M. May 12.04 12.73 A 12.03 .70 188,201 Sugar-Domestic (ICE-US)-112,000 lbs., cents per lb. March 25.40 25.40 25.40 A 25.34 25.40 .04 2,718 May 25.50 25.54 A 25.50 25.50 -.01 Cotton (ICE-US)-50,000 lbs., cents per lb. March 72.52 73.92 A 72.48 72.75 23 126,870 May 73.99 75.23 A 73.92 74.10 .16 39,088 Orange Juice (ICE-USH 15,000 lbs., cents per lb. Jan 121.20 122.00 121.15 121.95 .65 582 March 123.75 124.80 122.85 123.85 .55 14.103 Interest Rate Futures Treasury Bonds (CBT)-$100,000; pts 32nds of 100% March 146-230 147-170 146-040 146-160 -12.0 949,992 June 146-160 146-190 145-300 145-270 -13.0 61 Treasury Notes (CBT)-$100,000; pts 32nds of 100% March 122-060 122-150 121-290 122-015 -8.0 4.102,583 June 122-150 122-240 122-065 122-105 -7.5 2,418 5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100% March 114-215 114-280 114-155 114-187 -5.5 4,590,715 2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100% March 106-045 106-065 106-010 106-025 -2.7 2,552,998 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. Jan 97.600 97.600 V 97.598 97.598 -.002 317.562 April 97.605 97.615 97.600 97,605 -.005 310,713 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100% March 102.766 102.797 102.297 102.391 - 219 27.938 1 Month Libor (CME)-$3,000,000; pts of 100% Jan A .0075 535 Eurodollar (CME)-$1,000,000: pts of 100% Jan 97.2300 97.2375 97.2250 97.2300 .0050 268.383 March 97.2850 97.3150 97.2850 97.3000 .0050 1,429,121 June 97.3050 97.3450 97.2900 97.3150 Dec 97.3650 97.4100 97.3250 97.3550 -0250 1,740,407 Currency Futures Japanese Yen (CME) 12,500,000 $ per 100 Jan .9228 .9257 9211 9213-.0008 1,190 March .9272 .9310 .9247 9259 -0009 222,921 Canadian Dollar (CME)-CAD 100,000: $ per CAD Jan .7479 .7530 A 7479 .7522 .0054 723 March .7484 .7544 A .7484 .7533 .0054 *1*03 166,071 British Pound (CME) 62,500; $ per Jan 1.2747 1.2775 A 1.2729 1.2775 .0031 2,616 March 1.2780 1.2832 A 1.2764 1.2815 .0031 204,679 Swiss Franc (CME)-CHF 125,000: $ per CHF March 1.0206 1.0285 A 1.0200 1.0277 .0071 66,727 June 1.0330 1.0369 A 1.0292 1.0368 .0071 95 Australian Dollar (CME)-AUD 100,000 $ per AUD Jan .7150 A 7124 .7143 331 Feb .7135 .7148 A 7135 .7147 .0026 680 March .7129 .7158 A7122 .7150 .0026 124,074 April 7144 .7149 A 7144 .7153 .0026 253 June .7133 .7160 A 7133 .7160 .0027 661 Sept .7147 .7161 A 7147 .7169 0026 121 Mexican Peso (CME)-MXN 500,000 $ per MXN March .05107 05129 A .05084 .05113.00014 161,111 June .04890 04905 A .04887 05035 00013 35 Euro (CME)- 125,000 $ per Jan 1.1415 1.1488 1.1415 1.1486 .0079 1.938 March 1.1475 1.1551 1.1471 1.1547 .0079 489,919 Index Futures Mini DJ Industrial Average (CBT)-$5 X index March 23470 23668 A 23279 23512 117 72,535 Dec 23523 23686 A 23350 23530 118 544 S&P 500 Index (CME)-$250 x index March 2536.70 2567.00 A 2525.00 2550.60 19.30 39,216 Mini S&P 500 (CME)-$50 x index March 2537.25 2567.50 A 2523.25 2550.50 19.20 2,634,252 June 2540.25 2571.25 A 2528.50 2555.00 19.40 27.554 Mini S&P Midcap 400 (CME)-$100 x index March 1690.00 1717.10 A 1679.20 1703.30 17.70 69,276 Mini Nasdaq 100 (CME)-$20 x index March 6451.3 6535.8 A 6402.5 6496.5 62.5 196,948 June lune 6471.5 65570 A 6427.0 6520.8 63.8 1,350 Mini Russell 2000 (CME)-$50 x index March 1384.40 1414.60 A 1375.80 1405.90 24.30 465,350 June 1391.60 1417.90 A 1386.80 1410.50 25.00 Mini Russell 1000 (CME)-$50 x index March 1402.00 1418,90 1402.00 1409.80 10.70 7,664 U.S. Dollar Index (ICE-US)-$1,000 x index 95.71 95.73 95.20 95.23 -52 57,402 June 95.08 95.08 94.75 94.74 -.51 945 4,124 638 909.50 3,422 337,323 1,798 193,399 .7125 0026 972 219,566 7.164 102 18.50 March 518.00 229,028 76.657 182,341 55,722 33,947 13,177 8483 25,193 129,414 115,863 79,843 60,839 398 2,724 4,391 4,095 534 96,443 51,809 March