Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. a. If the margin requirement is 29% 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.)
b. If the March futures price increases to 2601.70, 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.)
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.)
Contract Open High hilo low Open interest Settle Chg Open interest 1.15 1.10 127,138 60,630 1.756 138,638 .72 .70 389.965 188,201 Coffee (ICE-US)-37,500 lbs.; cents per Ib. March 101.50 103.45 A 101.15 102.75 May 104.40 106.55 A 104.30 105.75 Sugar-World (ICE-US)-112,000 lbs.; cents per lb. March 11.95 12.67 A 11.94 12.65 May 12.04 12.73 A 12.03 12.72 Sugar-Domestic (ICE-US)-112,000 lbs.: cents per Ib. March 25.40 25.40 A 25.34 25.40 May 25.54 A 25.50 25.50 Cotton (ICE-US)-50,000 lbs.: cents per lb. March 72.52 73.92 72.48 72.75 May 73.99 75.23 A 73.92 74.10 Orange Juice (ICE-USH15,000 lbs, cents per lb. Jan 121.20 122.00 121.15 121.95 March 123.75 124.80 122.85 123.85 25.50 .04 -.01 353 302.111 43,689 10,837 9,830 3,090 2,718 2,455 23 .16 126,870 39,088 24.797 3,313 .65 .55 582 14,103 261 85,951 820 142.916 48.80 367.400 319.791 136,259 115,849 229,259 191,808 51.32 97.598 97.600 -005 109,341 73,598 120,856 88,591 97.4875 174,258 270,970 148,613 132,474 62,540 105,445 Futures Contracts | 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 2.6595 2.6315 2.6370 -0.0105 Gold (CMX)-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 821.00 818.40 -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 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 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 52.77 A 51.30 51.48 0.40 NY Harbor ULSD (NYM)-42,000 gal.: $ per gal. Feb 1.7775 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 1.37 16 1.4080 1.3524 1.3541 24 -.0077 Natural Gas (NYM)-10,000 MMBtu: $ per MMBtu. Feb 2.932 2.994 2.910 2.944 -.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 -007 Oct 2.710 2.761 2.698 2.751 -.016 Agriculture Futures Corn (CBT)-5,000 bu: cents per bu. March 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 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 921.00 927.75 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 A 28.26 -.15 28.80 A 28.47 28.51 -.13 Rough Rice (CBT)-2,000 cwt.; $ per cwt. March 1048.00 1069.00 1066.50 18.50 May May 1071.50 1083.50 A 107 1.50 1082.50 18.50 Wheat (CBT)-5,000 bu, cents per bu. March 518.00 518.50 513.50 516.75 - 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 518.75 512.00 514.50 -3.00 Wheat (MPLS)5,000 bu., cents per bu. March 565.50 570.25 572.00 568.00 Mall -2.25 May 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 121.800 123.400 121.425 123.200 1.275 April 123.850 125.375 123.500 125.075 1.075 Hogs-Lean (CME)-40,000 lbs.: cents per lb. Feb 61.950 62.150 61.250 -.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 1.20 332.20 333.00 328.00 330.80 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 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 67 97.598 -.002 317,562 April 97.605 97.615 97,605 310,713 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 1 Month Libor (CME)-$3,000,000; pts of 100% Jan .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 V 97.2900 97.3150 1.252,674 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 .7530A .7479 .7522 .0054 723 March .7484 .7544 A7484 7401 .7533 .0054 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 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 .7125 7150 A .7124 .7143 0026 331 Feb .7135 .7148 A 7135 .7147 .0026 680 March .7129 .7158 A .7122 .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 .05084 .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 489,919 751,642 242,635 279.50 4,124 638 909.50 3,422 337,323 March 1.798 193,399 28.55 28.26 972 219,566 March 28.70 A 1048.00 7,164 102 .05113 229,028 76,657 517.50 182.341 55,722 575.50 577.25 33,947 13,177 117 118 72,535 544 8,483 25,193 19.30 39,216 129,414 115,863 19.20 2,634,252 19.40 27.554 61.900 79,843 60.839 17.70 Index Futures Mini DJ Industrial Average (CBT)-$5 X index March 23470 23668 A 23279 23512 Dec 23523 23686 A 23350 23530 S&P 500 Index (CME)-$250 X index March 2536.70 2567.00 A 2525.00 2550.60 Mini S&P 500 (CME)-$50 X Index March 2537.25 2567.50 A 2523.25 2550.50 June 2540.25 2571.25 2528.50 2555.00 Mini S&P Midcap 400 (CME)-$100 x index March 1690.00 1717.10 A 1679.20 1703.30 Mini Nasdaq 100 (CME)$20 x index March 6535.8 A 6402.5 6496.5 June 6471.5 6557.0 A 6427.0 6520.8 Mini Russell 2000 (CME)-$50 x index March 1384.40 1414.60 A 1375.80 1405.90 June 1391.60 1417.90 A 1386.80 1410.50 Mini Russell 1000 (CME)-$50 X index March 1402.00 1418.90 1402.00 1409.80 U.S. Dollar Index (ICE-US)-$1,000 X index March 95.71 95.73 95.20 95.23 June 95.08 95.08 94.75 94.74 69,276 6451.3 62.5 63.8 196,948 1,350 March 398 2,724 24.30 25.00 465,350 534 4,391 4,095 10.70 7,664 96,443 51,809 -.52 -.51 57,402 945 Figure 22.1 Futures listings Source: The Wall Street Journal, July 6, 2016
