chapter 14 homework

QUESTION

Suppose the CAC-40 Index (a widely followed index of French stock prices) is currently at 4,596, the expected dividend yield on the index is 1.3 percent per year, and the risk-free rate in France is 3 percent annually. If CAC-40 futures contracts that expire in five months are currently trading at 4,613, what program trading strategy would you recommend?Q2Using .mhhe.com/connect/0077641760/figure_14.1.jpg”>figure_14.1:You are short 17 June 2012 Hogs Lean futures contracts. Calculate your dollar profit or loss from this trading day.(Negative answers should be indicated by a minus sign. Do not round intermediate calculations. Omit the “$” sign in your response.)Show correct answerYou are long 12 gold futures contracts, established at an initial settle price of $1,488 per ounce, where each contract represents 100 troy ounces. Your initial margin to establish the position is $12,000 per contract, and the maintenance margin is $11,200 per contract. Over the subsequent four trading days, gold settles at $1,477, $1,473, $1,483, and $1,493, respectively.Compute the balance in your margin account at the end of each of the four trading days, and compute your total profit or loss at the end of the trading period. Assume that a margin call requires you to fund your account back to the initial margin requirement. (Leave no cells blank – be certain to enter “0” wherever required. Input all amounts as positive values. Omit the “$” sign in your response.) DaysMargin Account Total Profit/LossMargin Call Day 1$n/r $n/r n/r$n/r Day 2$n/r $n/r n/r$n/r Day 3$n/r $n/r n/r$n/r Day 4$n/r $n/r n/r$n/rShow correct answerUsing .mhhe.com/connect/0077641760/figure_14.1.jpg”>figure_14.1:You are short 30 Sept 2012 5 Yr Treasury Note futures contracts. Calculate your profit or loss from this trading day.(Negative amounts should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the “$” sign in your response.) Gain/Lossby $n/r Show correct answerA non-dividend-paying stock has a current share price of $67.29 and a futures price of $67.64. If the maturity of the futures contract is two months, what is the risk-free rate? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.) Risk-free raten/r % 6.Award: 0 out of 1.00 pointShow correct answerSuppose the 180-day S&P 500 futures price is 1,163.76, while the cash price is 1,150.4. What is theimplied dividend yield on the S&P 500 if the risk-free interest rate is 5.1 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.) Implied dividendn/r % 7.Award: 0 out of 1.00 pointShow correct answerUsing .mhhe.com/connect/0077641760/figure_14.1.jpg”>figure_14.1:a.What is the total open interest on the Dec 2012 Australian Dollars contract? Australian Dollars contractsn/r b.Does it represent long positions, short positions, or both? n/r c.Based on the settle price on the contract, what is the dollar value of the open interest? (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the “$” sign in your response.) Dollar value$n/r 8.Award: 0 out of 1.00 pointShow correct answerYou shorted 14 Sept 2012 British Pound futures contracts at the high price for the day. Looking back at.mhhe.com/connect/0077641760/figure_14.1.jpg”>figure_14.1 if you closed your position at the settle price on this day, what was your profit? (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the “$” sign in your response.) Profit$n/r 9.Award: 0 out of 1.00 pointShow my answerYou went long 40 Jun-13 crude oil futures contracts at a price of $86.86. Looking at .mhhe.com/connect/0077641760/figure_14.1.jpg”>figure_14.1, if you closed your position at the settle price on this day, what was your profit? (Omit the “$” sign in your response.)10.Award: 0 out of 1.00 pointShow correct answerSuppose you want to hedge a $260 million bond portfolio with a duration of 8.5 years using 10-year Treasury note futures with a duration of 6.4 years, a futures price of 102, and 92 days to expiration. The multiplier on Treasury note futures is $100,000. How many contracts do you buy or sell? (Do not round intermediate calculations. Round your answer to the nearest whole number.) Contractsn/rn/r

ANSWER:

REQUEST HELP FROM A TUTOR