Spot and futures prices for Gold and the S&P in September 2016 are given below.

16-September 16-December 17-June

COMEX Gold ($/oz) $693 $706.42 $726.7

CME S&P 500 $1453.55 $1472.4 $1493.7

a. (20 points) Use prices for gold to calculate the effective annualized interest rate for Dec 2016 and June 2017. Assume that the convenience yield for gold is zero.

b. (10 points) Suppose you are the owner of a small gold mine and would like to fix the revenue generated by your future production. Explain how the futures market enables such hedges.

c. (10 points) Calculate the convenience yield on the S&P index between September 16 and December 16.