act. The detalls of the contract are given belowDate of contract1 September 2015Close out date (maturity 4 September 2015date)Contract priceSize of contractR975 per ounce10 futures contract, each contract represents 100 troyouncesThe initial marginMaintenance marginR12,000 per contractRI1,200 per contractOver the four trading days, the gold prices were as followsDateSpot price1* September 20152nd September 2015R964R9603rd September 2015R9704th September 2015R980Required1. Explain whether Chill Ltd is buying or selling futures as a hedge.2. Demonstrate the concept of marking to market using the 10 gold futures. Do that for thebuyer and the seller. Clearly show the balance in the margin account at the end of each ofthe four trading days.3. Under what circumstances is (a) a short hedge and (b) a long hedge appropriate?

To prevent loss in the spot market, traders take opposite positions in the futures and forwards and…

Date of contract Close out date (maturity 4 September 2015 date) Contract price Size of contract The initial margin Maintenance margin R975 per ounce 10 futures contract, each contract represents 100 troy 1st September 2015 2nd September 2015 3rd September 2015 4th September 2015 ounces R12,000 per contract | R11,200 per contract Over the four trading days, the gold prices were as follows Date Spot price R964 R960 R970 R980

Date of contract Close out date (maturity 4 September 2015 date) Contract price Size of contract The initial margin Maintenance margin R975 per ounce 10 futures contract, each contract represents 100 troy 1st September 2015 2nd September 2015 3rd September 2015 4th September 2015 ounces R12,000 per contract | R11,200 per contract Over the four trading days, the gold prices were as follows Date Spot price R964 R960 R970 R980

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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U.S. Treasury STRIPS, close of business February 15, 2019: Maturity Price Maturity Feb 2020 97.123 Feb 2021 94.770 Feb 2022 92.424 Feb 2023 Feb 2024 Feb 2025 STRIPS Feb 20 STRIP: Feb 21 STRIP: Feb 22 STRIP: Feb 23 STRIP: Feb 24 STRIP: Feb 25 STRIP: a. Calculate the quoted yield for each of the STRIPS given in the table above. (Input all amounts as positive values. Do not round intermediate calculations. Enter your answers as a percent rounded to 3 decimal places.) Quoted yield Price 90.066 87.528 85.410 % % % % % % +
Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. b. Fill the appropriate numbers in the blank cells in the following table. (Hint: See solution to Q19 in Lesson 2 Learning…
The 1-year and 2-year forward prices of gold are $420/ounce and $430/ounce. The 2-year swap price for gold is $424.73/ounce. The 1-year spot rate of interest is 5%. Calculate the 1-year forward rate. O A. 11.4% O B. 11.8% O C. 12.1% O D. 12.6% O E. 13.2%
PROBLEM 3. Spot price of crude oil is 83.84/bbl. The total interest rate on six-month loans and deposits is 0.84%. The storage cost is 0.33% of the asset value per month paid at the end of the storage period. Assuming no transaction cost, determine the no-arbitrage price for a crude oil futures contract maturing six months from now.
M2
12 . Consider a T-bill that will have a 125 days to maturity at the time of forward contract expiration. The forward in this T-Bill is quoted at a discount of 1.24%. At expiration, the amount the long will pay the short for delivery of T-bill worth $1m par is closest to: A. $995,694.44 B. $995,753.42 C. $987,600
9-month long futures contract on an investment asset that provides $25 coupon payment in 3 months. Storage cost is $2 per unit payable at 9 mos. Spot price of asset is $275 per unit. Risk-free rate is 6.5% per annum. C. Suppose futures price is $220, how will the trader exploit the arbitrage opportunity?
9-month long futures contract on an investment asset that provides $25 coupon payment in 3 months. Storage cost is $2 per unit payable at 9 mos. Spot price of asset is $275 per unit. Risk-free rate is 6.5% per annum. A. What is the no-arbitrage futures price?
Jon establishes a long position of one T-bond future today for a settlement price of 101'02. The exchange requires an initial margin of $2700 and a maintenance margin of $2500. Below are the next two days closing price on this contract. Day 1: settlement price100'31 Day 2: settlement price 99'30 The margin account balance after two days is Numeric Response dollars
Hh1. Account
Nikul
Question A .In April you bought two futures contracts on FOJC when the future price was US 286 cents per pound with an initial margin of US$5,000 per contract. Each contract is for delivery of 15,00 pounds. If your maintenance margin is US$3,750, what price change in FOJC would lead to a margin call? Full explain this question and text typing work only We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line

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