a. A single-stock futures contract on a non-dividend-paying stock with current price $260 has a maturity of 1 year. If the T-bill rate is 5%, what should the futures price be? (Round your answer to 2 decimal places.) Futures price b. What should the futures price be if the maturity of the contract is 4 years? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Futures price

a. A single-stock futures contract on a non-dividend-paying stock with current price $260 has a maturity of 1 year. If the T-bill rate is 5%, what should the futures price be? (Round your answer to 2 decimal places.) Futures price b. What should the futures price be if the maturity of the contract is 4 years? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Futures price

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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A call option with a current value of $6.20. A put option with a current value of $6.70. Both options written on the same stock and both with 1 year until expiration. The current price of the stock is $52.00 and the prevailing risk-free rate is 7.00%. What must be the striking price of either option?
1. (7 marks) A stock XYZ is quoted 1015. Two counterparties agree to enter into a forward contract maturing at T = 6 months. Here are the possible values of XYZ, at maturity. XYZ at T=6 months XYZ Forward Long Short 1000 1015 1020 1030 1080 (A) Find the possible values of the payoff for the buyer and for the seller of the forward and sketch a graph of the payoffs. (3.5 marks) (B) We know that spot price at expiration can be duplicated according to Forward + Zero Coupon bond = Spot Price at Maturity. Find the possible values of the zero coupon bond. What can you say about the risk associated with this bond? (3.5 marks)
What is the implied interest rate on a Treasury bond ($100,000) futures contract that settled at 100’160? If interest rates increased by 1%, what wouldbe the contract’s new value?
You enter into a 1-year futures contract on a non-dividend paying stock when the stock price is $100 and the risk-free interest rate is 5% per annum. Six months later the stock price has fallen to $90, and the interest rate is 4% per annum. Which of the answers below is closest to the change in the futures price? Assume discrete compounding and discounting. Question 6Answer a. -12.34 b. -11.40 c. -10.00 d. -13.20
The one-year futures price on a particular stock-index portfolio is 2,620, the stock index currently is 2,600, the one-year risk-free interest rate is 2.0%, and the year-end dividend that will be paid on a $2,600 investment in the index portfolio is $25. Required: By how much is the contract mispriced? (Input the amount as positive value.) The futures price is its "proper" or parity value.
Vijay
You BUY a futures contract with the characteristics below. Assuming the S&P500 contract suddenly RISES by 12.00 points, what is your profit or loss as a return on the initial margin? S&P500 e-mini contract Futures (FO) 2,646.000 Initial margin 5420 Maint margin 4610 O 9.68% O 11.07% 10.15% 11.49% O 10.61%
Assume today's settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days' settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Changes in the performance bond account W
5
You purchase a $100,000 bond futures contract at 96.5. a) Assume that the bond futures price falls to 94. What is your gain/loss? b) Assume that the bond futures price rises to 98. What is your gain/loss?

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