Table 1: DJIA Futures Jan 27, 2009 Jan 28, 2009 Jan 29, 2009 DJ Industrial Average 8.174.73 8,375.45 8.149.01 DJIA Futures Price 8,136.00 8.336.50 8.112.00 Question 4: Futures Contracts (3/10) The table above shows the daily closing values of the Dow Jones Industrial Average index (DJIA), along with the daily prices for the DJIA Futures contract with maturity date March 20 of the same year (Feb has 28 days). The futures contract size is 10 units of the index. value. 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% (continuously compounded). Assume this is the rate you earn on your margin account. (i) Suppose you take a long position in 10 futures contracts on Jan 27. What is your profit/loss on Jan 28 and Jan 29? What is the balance in your margin account at the end of each of these days? Do you face any margin calls? (ii) Repeat part (i) for a short position of 5 futures contracts. (iii) Using the Jan 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.) (iv) For the three days shown, the index value is larger than the futures price. Why