= An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three months. The S&P 500 index currently trades at St $4,538.43. (As of 3-Dec-21.) Regarding contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally, the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures contract is currently trading at F₁(T) = $4,531.25 (actual settlement price for the Mar-22 contract on 3-Dec-21). Given this information, address the following two questions. Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r? (a) -0.012 (b) 0.012
= An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three months. The S&P 500 index currently trades at St $4,538.43. (As of 3-Dec-21.) Regarding contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally, the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures contract is currently trading at F₁(T) = $4,531.25 (actual settlement price for the Mar-22 contract on 3-Dec-21). Given this information, address the following two questions. Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r? (a) -0.012 (b) 0.012
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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An investor enters a short position in the S&P 500 E-mini futures contract that will expire in three
months. The S&P 500 index currently trades at St $4,538.43. (As of 3-Dec-21.) Regarding
contract specifications, the contract corresponds to 50 times the S&P 500 index. Additionally,
the initial and maintenance margins are, respectively, $12,100 and $11,000. Finally, the futures
contract is currently trading at Fț(T) = $4,531.25 (actual settlement price for the Mar-22 contract
on 3-Dec-21). Given this information, address the following two questions.
12. Suppose that the annual dividend yield is q = 2%, what is the implied annual risk-free rate r?
(a) -0.012
(b) 0.012
(c) 0.014
(d) -0.0370
12
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