A coal distributor buys a coal futures contract that requires acceptance of 46,000 tons of coal at £1.26 per ton. How is the account marked to market if coal futures close the next day at £1.24? A. A loss of £920 is posted to the account. B. A gain of £920 is posted to the account. C. A loss of £9,200 is posted to the account. D. A gain of £9,200 is posted to the account.
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2. A coal distributor buys a coal futures contract that requires acceptance of 46,000 tons of coal at £1.26 per ton. How is the account marked to market if coal futures close the next day at £1.24?
| A. |
A loss of £920 is posted to the account. |
|
| B. |
A gain of £920 is posted to the account. |
|
| C. |
A loss of £9,200 is posted to the account. |
|
| D. |
A gain of £9,200 is posted to the account. |
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- Question I: Consider the widget exchange. Suppose that each widget contract has a market value of $0 and a notional value of $100. There are three traders, A, B, and C. Over one day, the following trades occur: . A long, B short, 5 contracts. • A long, C short, 15 contract. • B long, C short, 10 contracts. . C long, A short, 20 contracts. 1. What is each trader's net position in the contract at the end of the day? 2. What are trading volume, open interest, and the notional values of trading volume and open interest? 3. How would your answers in (1) and (2) have been different if there were an additional trade: C long, B short, 5 contracts? 4. How would you expect the measures in part (2) to be different if each contract had a notional value of $20?Problem 2.23. Suppose that on October 24, 2015, a company sells one April 2016 live-cattle futures contracts. It closes out its position on January 21, 2016. The futures price (per pound) is 121.20 cents when it enters into the contract, 118.30 cents when it closes out its position, and 118.80 cents at the end of December 2015. One contract is for the delivery of 40,000 pounds of cattle. What is the total profit? How is it taxed if the company is (a) a hedger and (b) a speculator? Assume that the company has a December 31 year end.You long a futures contract for 500 units of silver for $60 per unit. The initial margin is $3,000 and the maintenance margin is $2,000. What is the silver price at which you will receive a margin call? A.$62 B.$56 C.$58 D.$64
- (a) An asset has recorded the following closing prices over a period of 5 days: 100 (day 1), 105 (day 2), 103 (day 3), 110 (day 4), and 120 (day 5). Calculate: (i) the net return at the end of the 5-day period (ii) the log return at the end of the 5-day period (iii) the average log return over this 5-day period (b) Suppose the distribution for the above returns follows the normal distribution with a mean value of 5, and a standard deviation of 2. Given that the 5% quantile value is -1.645, what is the 5% 10 days value-at-risk for a portfolio of a value of £100,000? (c)Explain why bootstrapping is necessary when using the historical simulation method for value-at-risk and why it is not necessary when using the Monte Carlo simulation methodAssume an asset sells in the spot market for a price of $140, the risk-free rate is 5%, and a forward contract expires in ten months. What is the initial value of the contract and the correct forward price? $140 and $143.45 $0 and $145.82 $0 and $134.1919. You purchased one silver future contract at $3 per ounce. What would be your proofit (loss) at maturity if the silver spot price at that time is $4.10 per ounce? Assume the contract size is 5000 ounces and there are no transaction costs. a. $5.50 profit b. $5500 profit c. $5.50 loss d. $5,500 loss e. none of these
- Answer all the subparts a,b,c.if answered within 45mins,it would be helpful!!! Problem 20.2 On Tuesday 3rd November 2020 Alibaba Holding Group Limited had a closing price of 299.80 Hong Kong Dollars. After the market had closed, news broke that the planned IPO for Ant financial had been suspended. On Wednesday 4th November at 9:30am when HKEX opened for trading Alibaba was trading at 273.00 HKD, a 8.9% price drop. Imagine you were working for a bank who had sold put options on Alibaba with a strike price of 300.00 HKD, with expiration on the 6th of November. The bank sold the put options using the price suggested by Black-Scholes. They were hedging the option as if the BSM model was exactly true. a) What is the status of your hedge portfolio on Wednesday morning? b) What parts of this trading situation violate the assumptions of the BSM model. c) How would you recommend they change their pricing and/or hedging arrangements in the futureAssume the current price of copper is $1675 per tonne, the term structure of interest rate is flat at 6% continuous compounding and proportional storage cost of copper is 1%. Suppose that the 6 month forward price for copper is $1700 per tonne, how can you make a riskless profit? Enter a long position in the forward contract, sell copper and invest excess funds Borrow to buy and store the copper and enter a short position in the forward contract Enter a short position in the forward contract, sell copper and invest excess funds O Borrow to buy and store the copper and enter a long position in the forward contract O Arbitrage is not availableYou buy one Hewlett Packard August 50 call contract and one Hewlett Packard August 50 put contract. The call premium is $1.25 and the put premium is $4.50. Your highest potential loss from this position is _________. A. $125B. $450C. $575D. unlimited
- Exercise The Insurance company GENINS started operating at 01.01.2008, having zero operational expenses and pursuing gain in 30% of the earned premium. The Company issues each day a contract with annual premium equal to 1000 € (Assume that every month has 30 days). The claims occure, are announced and settled immediately. In year 2008 the company paid claims of 150.000 €. If you were the Actuary in the particular company would you suggest adjustment of the individual premium of 1000 € and in what percentage?Assuming Nifty trades at Rs. 17,200 on 18.02.2022. Your client enters a long straddle by buying a March Rs. 17,300 Nifty Put for Rs. 175 and a March Rs. 17,300 Nifty Call for Rs. 225. What would be his Net Payoff from the strategy if: (i). Nifty closes at Rs. 16,750 (ii). Nifty closes at Rs. 18350Based on the information provided below, estimate the total profit or loss on a position: 1. Instrument traded: Futures Contract (London Metal Exchange) 2. Underlying metal: Nickel of 99.80% purity 3. Number of instruments traded: 130 4. Position taken: short 5. Quotation: USD per tonne 6. Lot size = 6 tonnes. %3D 7. Settlement type: physical 8. Futures price: 18782 9. Settlement price at the time of expiration: 18430