The value of the S&P 500 index is 4,815. The continuously compounded risk - free rate is 5.5% and the continuous dividend yield is 1.1% . You consider trading 1 E- mini futures on the S&P 500 (symbol: ES) with a contract unit of $5 x S&P 500 Index listed on CME and 115- days to expiration. a. Calculate the no - arbitrage futures price of the position. b. Calculate the value of a long futures position after 46 days if the index value is $3,852.

F2 please help....

A portfolio manager is wanting to add futures to an equity portfolio to change the beta of the overall portfolio. The following data is available: • Current Portfolio Beta: 0.25 • Current Portfolio Value: $10,000,000 • Current Futures Price: $2,500 • One contract is on $250x the index • Target Beta: 3.5 How many futures contracts should be added to the portolio to meet the target beta? Round to 0 decimal places.

5. Suppose the one-year futures price on a stock-index portfolio is 1218, the stock index currently is 1200, the one-year risk-free interest rate is 3%, and the ybar-end dividend that will be paid on a $1,200 investment in the index portfolio is $15. a. By how much is the contract mispriced? b. Formulate a zero-net-investment arbitrage portfolio and show that you can lock in riskless profits equal to the futures mispricing. Assume a zero bid-ask spread in security and futures transactions. Now assume that if you short sell the stocks in the index portfolio, the proceeds are kept with the broker, and you do not receive any interest income of the funds. Is there still an arbitrage opportunity (assuming that you don't already own the shares in the index)? d. Given the short sale rules, what is the no-arbitrage band for the stock-futures price relationship? Specifically, how high and how low can the futures price be without giving rise to arbitrage opportunities. C.