Question
The current level of the S&P 500 is 1,500. The dividend yield on the S&P 500 is 3.4%. The risk-free interest rate is 1.2%. What
- The current level of the S&P 500 is 1,500. The dividend yield on the S&P 500 is 3.4%. The risk-free interest rate is 1.2%. What should a futures contract with a one-year maturity be selling for?(Do not round intermediate calculations.)
Futures price$
2 . The multiplier for a futures contract on a certain stock market index is $250. The maturity of the contract is one year, the current level of the index is 1,700, and the risk-free interest rate is 0.4% permonth. The dividend yield on the index is 0.3% per month. Suppose thatafter one month, the stock index is at 1,732.
a.Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.(Do not round intermediate calculations. Round your answer to 2 decimal places.)
Cash flow$
b.Find the holding-period return if the initial margin on the contract is $25,000.(Do not round intermediate calculations.Round your answer to 2 decimal places.)
Holding-period return%
4 . One Chicago has just introduced a new single stock futures contract on the stock of Brandex, a company that currently pays no dividends. Each contract calls for delivery of 1,500 shares of stock in one year. The T-bill rate is 6% per year.
a.If Brandex stock now sells at $200 per share, what should the futures price be?(Round your answer to 2 decimal places.)
Futures price$
b.If the Brandex stock price drops by 3.0%, what will be the change in the futures price and the change in the investor's margin account?(Input all amounts as positive values.Do not round intermediate calculations.Round your answers to 2 decimal places.)
New futures price$
Investor's margin account (Gains/ Loses) $
c.If the margin on the contract is $30,000, what is the percentage return on the investor's position?(Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)
Percentage return%
8 .
Suppose the value of the S&P 500 Stock Index is currently $1,350. If the one-year T-bill rate is 3.1% and the expected dividend yield on the S&P 500 is 2.2%.
a.What should the one-year maturity futures price be?(Do not round intermediate calculations.)
Futures price$
b.What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 1.2%?(Do not round intermediate calculations.)
Futures price$
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