### Futures Trading Problem Set#### Case Study: Mini-S&P Contract**Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day.**#### Question aIf the margin requirement is 23% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the March maturity contract? (Round your answer to the nearest whole dollar.)**Required margin deposit:** \[ \_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_ \]#### Question bIf the March futures price increases to 2594.70, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal places.)**Percentage return on net investment:**\[ \_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_ \% \]#### Question cIf the March futures price falls by 1%, what is your percentage return? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)**Percentage return on net investment:**\[ \_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_\_ \% \]---### Explanation of Provided Figures and Diagrams#### Figure 22.1:- **Mini-S&P Contract:** This figure shows the closing price of a Mini-S&P futures contract for a specific day. It is critical in determining the required margin deposit for part (a) and for performing the calculations necessary for parts (b) and (c).**Note:** For this exercise, ensure that calculations are precise and follow the instructions related to rounding as specified in each question. ### Futures Contracts | WSJ.com/commodities#### Metal & Petroleum Futures- **Copper-High (CMX):** - Contract: 25,000 lbs.; cents per lb. - January: Opened at 2.6445, closed at 2.6410, down by 0.0105, open interest at 1,756- **Gold (CMX):** - 100 troy oz.; $ per troy oz. - February: Opened at 1284.90, closed at 1286.80, up by 4.10, open interest 321,907- **Palladium (NYM):** - 50 troy oz.; $ per troy oz. - March: Opened at 1242.40, closed at 1240.80, up by 3.80, open interest at 24,797#### Agriculture Futures- **Corn (CBT):** - 5,000 bu.; cents per bu. - March: Opened at 382.25, closed at 382.25, no change, open interest at 751,642- **Soybeans (CBT):** - 5,000 bu.; cents per bu. - Jan: Opened at 909.50, closed at 912.25, up by 2.75, open interest at 44,096#### Interest Rate Futures- **Treasury Bonds (CBT):** - $100,000; pts 32nds of 100% - March: Opened at 146-230, closed at 146-140, down by 1-00, open interest at 949,992- **30 Day Federal Funds (CBT):** - $5,000,000; 100 day rate - January: Opened at 97.650, closed at 97.615, up by 0.005, open interest at 310,713#### Currency Futures- **Japanese Yen (CME):** - ¥12,500,000; $ per - March: Opened at .9272, closed at .9247, down by .0019, open interest at 222,921- **Euro (CME):** - €125,000;

When you trade in index futures than you do not have to put all money but only very small margin…

Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. . If the margin requirement is 23% of the futures price times the contract multiplier of $50, how much must you deposit with your roker to trade the March maturity contract? (Round your answer to the nearest whole dollar.) Required margin deposit . If the March futures price increases to 2594.70, what percentage return will you earn on your investment if you entered the long ide of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal laces.) Percentage return on net investment %

Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. . If the margin requirement is 23% of the futures price times the contract multiplier of $50, how much must you deposit with your roker to trade the March maturity contract? (Round your answer to the nearest whole dollar.) Required margin deposit . If the March futures price increases to 2594.70, what percentage return will you earn on your investment if you entered the long ide of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal laces.) Percentage return on net investment %

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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Suppose you sell seven March 2021 silver futures contracts on December 4, 2020, at the last price of the day. Use Table 25.2. a. What will your profit or loss be if silver prices turn out to be $25.01 per ounce at expiration? (Enter your answer as a positive value. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.) b. What will your profit or loss be if silver prices are $23.13 per ounce at expiration? (Enter your answer as a positive value. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.) a. b.
Suppose you borrow RM10,000,000 in the interbank money market at a KLIBOR yield of 6% p.a for aterm of 1 month. Should you buy or sell KLIBOR futures contract if you were to hedge against interest rate risks?
Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day.a. If the margin requirement is 23% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the March maturity contract? (Round your answer to the nearest whole dollar.)Required margin depositb. If the March futures price increases to 2594.70, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? (Do not round intermediate calculations. Round your answer to 2 decimal places.)Percentage return on net investment%c. If the March futures price falls by 1%, what is your percentage return? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)Percentage return on net investment%
Suppose we enter into a 76-day T-bill futures contract quoted at 0.021. The notional amount is $1,000. What is the actual price?
Assume today's settlement price on a CME EUR futures contract is $1.3170/EUR. You have a long position in one contract. Your performance bond account currently has a balance of $3,200. The next three days' settlement prices are $1.3156, $1.3163, and $1.3079. 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 I
M2
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 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
If you put on the futures position from 2 at a price of 0.043 $/peso, and if the peso appreciates from the spot rate of 0.045 $/peso by 15% in the next 6 months, what will be the total value of your position (the payable plus the future) in 6 months (again, this should be a negative number)?
Today is January 1. The forward price for contracts maturing on April 1 is $104.4 and on October 1 is $111.6. On April 1, the price of a zero-coupon bond maturing on October 1 is $0.975. Assuming that the underlying interest rate is a continuously compounded interest rate and will not change, the amount of profit that you can make on October 1 by trading one contract each of the near and distant maturity forwards and other securities is: [round to two decimal places]
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