Question

Suppose the futures price is F0 = $105 for delivery date of Jan 15, 2015 and...

Suppose the futures price is F0 = $105 for delivery date of Jan 15, 2015 and is F0 = $105.10 for March 15, 2015. Given rf = 5% and dividend yield d = 4%. What can you say about this given information?

Business   Finance   
0 0
Add a commentTranscribed image text
Next >

Homework Answers

Answer #1

0 0
Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
Suppose you short one futures contract of Brent Crude for August delivery and lock into F0...
Suppose you short one futures contract of Brent Crude for August delivery and lock into F0 = $28.00. Suppose the initial margin requirement for the oil contract is 12%. Let's now assume that the price of Brent Crude takes a steady decline over the course of your time horizon. Assume that at maturity, ST = $18.50. b. Would you expect to have a margin call during your time horizon given the information above? Why or why not?
Suppose US government issues a treasury bond at Jan 15 2005 with a face value of...
Suppose US government issues a treasury bond at Jan 15 2005 with a face value of $100, and the bond matures at Jan 15 2015. The bond pays semi-annual coupons, with a coupon rate of 7.5%. a. If the market interest rate at Jan 15 2005 is 8%. What is the bond price? b. Now one year later, you are at Jan 15 2006. After two coupon payments, and the market interest rate changes to 7%. If you want to...
1. Back in May 2020, an ethanol plant’s risk manager looked at futures prices and considered...
1. Back in May 2020, an ethanol plant’s risk manager looked at futures prices and considered a hedge to lock in a price on part of her new-crop corn acquisition planned for mid-to-late October 2020. She saw that the December 2020 futures contract was trading at $3.20/bushel and she knew that the basis in mid-October—when she expected to take delivery of the corn in question and to lift the hedge (i.e., to offset her futures position)—has typically (most years) been...
Suppose the current price on a stock is $25, the stock has an annual dividend yield...
Suppose the current price on a stock is $25, the stock has an annual dividend yield of 2.5%. The risk-free rate is 5%. If a futures contract on this stock is available with a 3-month maturity, what should its price be? If the future price in the market is $25.50, how can you structure an arbitrage position.
Suppose that you enter into a short futures contract to sell July silver for $29.80 per...
Suppose that you enter into a short futures contract to sell July silver for $29.80 per ounce. The size of the contract is 5000 ounces. The initial margin is $ 3500, and the maintenance margin is $2500. What change in the futures price will lead to a margin call? A trader buys two July futures contracts on orange juice. Each contract is for the delivery of 15,000 pounds. The current futures price is 170 cents per pound, the initial margin...
One orange juice futures contract is on 15 000 pounds of frozen concentrate. The current price...
One orange juice futures contract is on 15 000 pounds of frozen concentrate. The current price is 1.1505 $/pound and the risk-free continuously compounded interest rate is 2% per year. You know that the storage cost amounts to 1.5% per year and the convenience yield is 2.4% per year (both cont. comp.). You enter into a short position on 100 contracts for delivery in 1.5 years. The initial margin is set at $40 000 so you deposit this amount into...
type issue date price (per $100 par value) Coupon Rate Maturity Date Yield to maturity Current...
type issue date price (per $100 par value) Coupon Rate Maturity Date Yield to maturity Current Yield Rating Bond aug 2005 79.56 4.50% 8-15-2015 - 5.66% AAA Treasury notes and bonds. Use the information in the following​ table: Assume a $100,000 par value. What is the yield to maturity of the August 2005 Treasury bond with semiannual payment? Compare the yield to maturity and the current yield. How do you explain this​ relationship? What is the yield to maturity of...
Suppose the S&P 500 index futures price is currently 1000. One contract of S&P 500 index...
Suppose the S&P 500 index futures price is currently 1000. One contract of S&P 500 index futures has a size of $250× S&P 500 index. You wish to purchase four contracts of futures on margin. Suppose that the initial margin is 10%. Your position is marked to market daily. The interest earnings from the margin account can be ignored. (A) What is the notional value of your position? (B) What is the dollar amount of initial margin? (C) What is...
Today is February​ 15, 2008 Type Issue Date Price​ (per $100 par​ value) Coupon Rate Maturity...
Today is February​ 15, 2008 Type Issue Date Price​ (per $100 par​ value) Coupon Rate Maturity Date YTM Current Yield Rating Bond Aug 2002 92.28 3.50​% ​8-15-2012 – 3.793​% AAA Treasury notes and bonds. Use the information in the following​ table: Assume a $100,000 par value. What is the yield to maturity of the August 2002 Treasury bond with semiannual payment? Compare the yield to maturity and the current yield. How do you explain this​ relationship?   What is the yield...
Prices of bond futures can be used to access the markets expectations about future interest rates...
Prices of bond futures can be used to access the markets expectations about future interest rates and therefore can be used as the basis for pricing other financial securities. A 10-year annual coupon bond with face value $1,000 is currently selling for $919. The futures price of this bond for delivery in 1 year is $888. The bond pays coupon of $88 annually. Assume that the coupon is paid before the delivery of the bond. (a) What is the 1-year...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT