Using the forward price approach to finish the following blanks. The expected closing basiswas -$.15. And the actual closing basis was -$0.25.Date1-OctCashCash Price$6.30FuturesMay Futures$6.75Cost of holding from Oct 1 to May 1 (including interest) = $0.21What is the forward price?What is the break-even price?What is the expected profit margin? =1-Oct1-MaySell Cash @ $6.40Sell May Futures @ $6.75Buy May Futures @?What is the futures price on May 1?What is the gain or loss on futures market result? =What is the gain or loss on cash market result? =What is the realized price (or net selling price)? =What is the overall profit? =What is the break-even price?

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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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Assume today's settlement price on a CME EUR futures contract is $1.3160/EUR. You have a long position in one contract. Your performance bond account currently has a balance of $2,700. The next three days' settlement prices are $1.3146, $1.3153, and $1.3069. 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.) > Answer is complete but not entirely correct. Balance of the performance bond account $ 3,837.50 x
Consider the following prices, volume and open interest for gold futures contracts. Contract size: 100 oz Price units: $/oz (a) What was the value of the contract that expires in February 2022 when the market closed? (b) Which futures contracts had a higher settle price on the previous trading day? (c) Would a speculator prefer to go short at the daily high price or the daily low price?
Suppose the current price for coffee for delivery in December is $1.3890 per pound. Each contract is for 37,500 pounds. Initial margin is $5000 and maintenance margin is 2700 on what day will long side get a margin call if over the next 5 days the futures price evolves as follows Day Futures Price 1. $1.4110 2. $1.4290 3. $1.3800 4. $1.3165 5. $1.3175
Use this information for problems through 24. The stock was priced at 165.13. The expirations are July 17, August 21, and October 16. The continuously compounded risk-free rates associated with the three expirations are 0.0503, 0.0535, and 0.0571, respectively. The standard deviation is 0.21. a. Construct a bear money spread using the Octo- ber 165 and 170 calls. Hold the position until the options expire. Determine the profits and graph the results. Identify the breakeven stock price at expiration and the maximum and minimum profits. Discuss any special considerations asso- ciated with this strategy. b. Repeat problem "a.", but close the position on September 20. Use the spreadsheet to find the profits for the possible stock prices on September Generate a graph and use it to identify the approximate breakeven stock price.
Given the following information for December 24 corn futures, identify the "In the Money", "At The Money", and "Out of the Money" 22 puts and Calls. The December 24 futures price is $4.71. Also, calculate the intrinsic and extrinsic values of the premiums. 24 25 26 27 28 29 30 31 32 33 34 35 36 37 \table[[Strike,Premium],[Prices,Puts,Monies],[5.2,0.655,Out],[5.1,0.583,In],[5,0.513,At],[4.9,0.447,Out],[4.8,0.386,],[4.7,0.33,],[4.6,0.276,],[4.5,0.227,],[4.4,0.185,],[4.3,0.147,]] \table[[Puts,,],[Intrinsic,Extrinsic,Calls],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,],[,,,]]
1. Complete the following tables (the example from the course): We start with the assumption that the futures price is 100$ when the transaction opens, the initial margin requirement is 5$, and the maintenance margin requirement is 3$. Table 1. Holder of long position of 10 contracts Day Beginning Funds Settlement Futures price change (5) Gain/Loss (6) Ending balance (7) (1) balance (2) deposited (3) price (4) 0 100.00 99.20 96.00 101.00 103.50 103.00 6 104.00 Table 2. Holder of short position of 10 contracts Day Funds Settlement Beginning balance (2) Futures price change (5) Gain/Loss (6) Ending balance (7) (1) deposited (3) price (4) 0 100.00 1 99.20 2 96.00 3 101.00 4 103.50 5 103.00 6 104.00 2. Suppose that an European call option on 1000 shares has the strike price 22 $/share and the premium 0.8 $/share. a) What will be the buyer's payoff if the spot price at maturity is 23.1 $/share? Draw the diagram. b) What will be the seller's (writer) payoff if the spot price at maturity is…
3b) Please check picture.
Prices of a futures contract for 5 consecutive trading-days are provided in the table below. The initial margin requirement is set at $6.00 per contract and the maintenance margin is $3.60 per contract. Futures Price Day 0 $120 1 $118 2 $117 3 $119 4 $123 $125 5 On day 0, a trader enters into a short position for 15 contracts. The ending balance for the margin account on day 5 is closest to: O a. $15. O b. $210. O C. None of the above. O d. $60.
Assume today's settlement price on a CME EUR fütures contract is $1.3176/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $3,500. The next three days settlement prices are $1.3162, $1.3169, and $1.3085. 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.) Balance of the performance bond account
We define basis as futures price minus cash price. In general, what is the expected sign of the basis one month prior to expiry for oil sold on the spot market at the futures contract’s delivery location? (i) positive (ii) negative (iii) zero
1)Demonstrate how a Margin Account operates for both the Long and the Short futures position using the following information (you do not need to adjust the values given for contract size or number of contracts): The initial margin is R30. The initial Futures price is R100. On Day 1 the price drops to R90. On Day 2 the price rises to R95. Fill in the correct monetary values for the margin account values (a) through to (f) in your answer booklet. Take care to show the signs (negative and positive) of your cash flows. LONG SHORT DAY 0 (a) (b) DAY 1 (c) (d) DAY 2 (e) (f)
You bought a futures contract for $2.60 per bushel and the contract ended at $2.70 after several days of trading with the following close prices each day: $2.52, $2.57, $2.62, $2.68, and $2.70. What would the mark to market sequence be? A. -.08, .05, .05, .06, .02 B. .08, -.05, -.05, -.06, -.02 C. .08, .03, -.02, -.06, -.10 D. -.08, -.03, .02, .06, .10 E. .10, .06, .02, -.03, -.08

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