Data
Closing price 1491.8
multiplier 250
Problem 22-7
Turn to the S&P 500 contract in Figure 22.1. Assume the closing price for this day.
a.If the margin requirement is 10% of the futures price times the multiplier of $250, how much must you deposit with
your broker to trade the March maturity contract? (Omit the “$” sign in your response.)
b.If the March futures price were to increase to 1,498, what percentage return would you earn on your net investment if
t 3.00
b future price 163.91
rf 0.06
t 3.00
c future price 178.65
Problem 22-8
a.A single-stock futures contract on a non-dividend-paying stock with current price $150 has a
c.What should the futures price be if the interest rate is 6% and the maturity of the contract is 3
rf 0.03
a future price 154.50
Problem 22-10
Suppose the value of the S&P 500 stock index is currently 1,400.
1-a.If the 1-year T-
bill rate is 3% and the expected dividend yield on the S&P 500 is 2%, what should
the 1-year maturity futures price be?
Problem 22-13
One Chicago has just introduced a single-stock futures contract on Brandex stock, a company that currently pays no
dividends. Each contract calls for delivery of 1,000 shares of stock in 1 year. The T-bill rate is 6% per year.
a.If Brandex stock now sells at $120 per share, what should the futures price be? (Round your answer to 2 decimal
b.If the Brandex price drops by 3%, what will be the new futures price and the change in the investor’s margin
Data
multiplier 250
t 1
current level 1300
Problem 22-14
The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is 1
year, the current level of the index is 1,300, and the risk-free interest rate is 0.5% per month. The
dividend yield on the index is 0.2% per month. Suppose that after 1 month, the stock index is at 1,320.
a.Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity