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The multiplier for a futures contract on a stock market index is $85. The maturity of the contract is 1 year, the current level of
The multiplier for a futures contract on a stock market index is $85. The maturity of the contract is 1 year, the current level of the index s 1,870 , and the risk-free interest rate is 0.6% per month. The dividend yield on the index is 0.2% per month. Suppose that after 1 nonth, the stock index is at 1,890. . Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not ound intermediate calculations. Round your answer to 2 decimal places.) . Find the holding-period return if the initial margin on the contract is $5,700. (Do not round intermediate calculations. Round your inswer to 2 decimal places.)
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