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Futures

Options and Futures - Percentage Gain/Loss and Maintenance Margin Call

1) The contract for grain is $5,000 per bushel. You purchase a contract of corn at $4.40 per bushel with an initial margin requirement of 8% of the dollar value of the contract. The price goes up to $4.49 in one month. a. Calculate the percentage of gain based on price appreciation. b. Calculate the percentage of gain b

10 Multiple choice questions on derivatives: short hedge, basis, anticipatory hedge, spot, asset, underlying, futures, cross hedge, minimum variance hedge ratio, profit at expiration, profit on a hedge, bonds, optimal stock index futures hedge ratio, portfolio, beta, S&P 500 futures, multiplier, ordinary hedge, risk

Please see attached. 1. A short hedge is one in which a. the margin requirement is waived b. the futures price is lower than the spot price c. the hedger is short futures d. none are correct e. the hedger is short in the spot market 2. What happens to the basis through the contract's life? a. it init

Phoenix Motors wants to lock in the cost of 10,000 ounces of platinum to be used in next quarter's production of catalytic converters. It buys three-month futures contracts for 10,000 ounces at a price of $550 per ounce. a. Suppose the spot price of platinum falls to $525 in three months' time. Does Phoenix have a profit or loss on the futures contract? Has it locked in the cost of purchasing the platinum it needs?

Phoenix Motors wants to lock in the cost of 10,000 ounces of platinum to be used in next quarter's production of catalytic converters. It buys three-month futures contracts for 10,000 ounces at a price of $550 per ounce. a. Suppose the spot price of platinum falls to $525 in three months' time. Does Phoenix have a profit or lo

Futures Pricing Problem

Suppose there is a financial asset, a bond ABC, which is the underlying asset for a futures contract with settlement six months from now. You know the following about this financial asset and the futures contract: -In the cash market ABC is selling for $80. -ABC pays $8 per year in two semi-annual payments of $4, and the n

Futures, number of contract

A. The soybean contract has a trading unit of 5,000 bu. If you would like to hedge on 15,000bu, how many futures contracts should you buy or sell? b. The feeder cattle contract has a trading unit of 50,000 pounds. If you would like to hedge on 750,000 pounds, how many futures contracts should you buy or sell? c. The gold

Futures Contracts

On Monday morning, you take a long position in a pound futures contract that matures on Wednesday afternoon. The agreed-upon price is $1.78 for £62,500. At the close of trading on Monday, the price has risen to $1.80. At Tuesday close, the price rises further to $1.80. At Wednesday close, the price falls to $1.785, and the con

Arbitrageur's Profit and IMM Euro

Suppose that the forward ask price for November 7 on euros is $0.9227 at the same time that the price of IMM euro futures for delivery on November 7 is $0.9045. Can an arbitrageur profit from this situation?

Can futures be traded as warrants

Can futures be traded as warrants? Can future contracts change hands and move in the market from the original sellers/buyers to the new investors?

Case Study, "Futures Markets": This is the case study about the futures market. The case study consists of 3 questions. It is starting with a easy concepts and as the questions are progressing it becomes bit more advanced, require bit more thinking. It is very important to answer every preceding question correct, because subsequent questions are based on the preceding answers.

QUESTION 1: Enter into a futures contract Following the email from the CEO you have logged on to the GG Futures Exchange (GGFE) website to obtain the coffee futures (COF) price and the GG Commodities Exchange (PCE) to obtain the current coffee spot price (COS). Today's date is 10 May 2006 a) From the information prov

Margin account: If you have a long position in one futures contract, the changes in the margin account from daily marking to market will result in a balance of the margin account after the third day to be:

Today's settlement price for Mercantile Exchange Yen futures contract is $0.8011/Y100. Margin account balance is $2,000. Next three days settlement prices are $0.8057/T100, $0.7996/T100 and $0.7985/Y199. The contractual size of one Mercantile Exchange is Yen12,500,00. If you have a long position in one futures contract, the

Practice problems

Chapter 4 practice problems 1. What is the future value, where present value=1000, r=6% and t=1? a. 1060.00 b. 1600.00 c. 943.40 d. 900.00 2. What is the future value, where present value=1000, r=6% and t=10? a. 1600.00 b. 400.00 c. 1790.85 d. 1645.32 3. What is the present value, where future value = 1000, r=6%

Hedging interest rates using Futures contracts

A bank issues a $100,000 fixed-rate 30-year mortgage with a nominal annual rate of 4.5%. If the required rate drops to 4.0% immediately after the mortgage is issued, what is the impact on the value of the mortgage? Assume the bank hedged the position with a short position in two 10-year T-bond futures. The original price was 64

Spot and futures

24. A bank customer will be going to London in June to purchase $100,000 in new inventory. The current spot and futures exchange rates are as follows: Exchange Rates (Dollars/Pound) Period Rate Spot 1.5342 March 1.6212 June 1.6901 September 1.7549 December 1.8416 The customer enters into a position in June

Futures Contract (Compounded Monthly)

Anyone can borrow or lend cash for 1% a month, compounded monthly. Prices for silver are listed below (see attachment). a. This market is not in equilibrium. How could you earn the largest possible arbitrage profit, assuming that the arbitrate opportunity is going to disappear within a few minutes as other trader catch on? b.

334 Nokia contract

2006 NOK(Nokia) SSF (Single Stock Futures) contract is trading for $17.00. a. If you sell and hold the short position until expiration, what will I have to do on the expiration date? b. If Intel is currently trading on the NYSE (its cash market) for $16.00, at what annual rate can you effectively (really) borrow and lend mon

Future value

Assume $1000 investment at 10%, for 2 years. What would the fV be?

Hedging using futures and optimal hedge ratio

You wish to hedge 90 percent of the current portfolio value with futures. The value of the portfolio is $50 million and tracks the S&P 500 index. The index in 1,076.32 ($250 per point) and the portfolio has a beta of 1.2. Calculate the appropriate hedging using futures contracts. Hint: Calculate using the optimal hedge ra