a. A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? b. What should the futures price be if the maturity of the contract is 2 years? c. What if the interest rate is 9% and the maturity of the contract is 2 years? Complete this question by entering your answers in the tabs below. Required A Required B Required C A futures contract on a non-dividend-paying stock index with current value $130 has a maturity of one year. If the T-bill rate is 6%, what should the futures price be? Note: Round your answer to 2 decimal places. Futures price

following questions: a. What is the mid-rate for each maturity? b. What is the annual forward premium for all maturities? (Click on the icon to import the table into a spreadsheet.) Period spot 1 month 2 months 3 months 6 months 12 months 24 months Period Bid Rate Spot 1.3267 1.3265 1.3263 1.3259 1.3250 1.3228 1.3179 a. What is the mid-rate for each maturity? Calculate the mid-rate for each maturity below: (Round to five decimal places.) Days Forward Ask Rate 0 1.3268 1.3266 1.3264 1.3262 1.3252 1.3233 1.3207 Bid Rate US$/€ 1.3267 Ask Rate US$/€ 1.3268 Mid-rate US$/€

Assume that today's settlement price on a CME EUR futures contract is $1.1145/EUR. You have a long position in one contract. Your margin balance is currently of $2,763. The next three days' settlement prices are $1.1144, $1.1141, and $1.1148. Calculate the balance in the margin account after the third day due to dailly mark-to-market. The size of a futures contract on the euro is EUR125,000. Note: Enter your answer rounded to the nearest dollar. For example, if the calculated balance on the margin account after the third day of mark-to-market is $2,475.80, enter it as: 2476 or 2,476.

Question 3. Assume the continuously compounded interest rate has constant value 15%. The table below is for a futures contract maturing on day 5 with delivery price equal to the futures price. The underlying asset is a stock paying no income. The St column gives the stock price on each day. The Φ(t,T) column gives the futures price on each day. The MTM column lists the mark-to-market payments. The interest column lists the interest that will be accrued on the mark-to-market payment by the maturity date. Fill in the table. Give at least four decimal places. day St Φ(t,T) MTM interest 0 2000       1 1900       2 2100       3 2200       4 2000       5 2100           sum:     Hint: Use Mathematica or a spreadsheet for the calculations.

Consider a European Call Option with a strike of 82. The current price of the underlying asset is 80, and the time to expiry is 5 months. The current market price of the option is 6.22. The risk-free rate is 4.1%. (a) Find the implied volatility of the underlying. Provide all necessary calculations.

Suppose that you purchase a Treasury bond futures contract at $95 per $100 of face value.  What is your obligation when you purchase this futures contract?   If an FI purchases this contract, in what kind of hedge is it engaged?   Assume that the Treasury bond futures price falls to 94. What is your loss or gain?   Assume that the Treasury bond futures price rises to 97. Mark your position to market.

Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Calculate the value of your position in this contract at a close of each day between 1-4 November 2022. Show and explain each step of your derivations.

Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Show how the balance on your margin account was changing over this period (i.e., 1-4 November 2022).

Suppose that, on 5 November 2020, you opened a short position in a two-year futures contract on the Tesla stock. The share price at the beginning of the contract was $146, and the initial futures price was equal to a theoretical two-year forward price. Assume the following: initial margin of 40% of the futures value, maintenance margin of 32% of the futures value, 3% flat interest rate, continuous compounding, no withdrawals of the excess margin. Next, suppose that, on 1 November 2022, the Tesla stock is priced at $228 per share, and it goes down by 1% daily over 2nd, 3rd and 4th November. Suppose further that, on 1 November 2022, you have received a margin call from your broker (this was your first margin call during this contract) and had to make an instant adjustment to your margin account. Your position in this contract is closed on 4 November 2022. How can you assess your overall profit or loss?  Would your overall profit/loss from 1) change if, on 5 November 2020, you had…

Assume today's settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days' settlement prices are $1.3126, $1.3133, and $1.3049. 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.) Changes in the performance bond account W