35UIUC%20FIN%20300%20S%26P%20500%20NDX%20100%20P%26L%20FA10%20v2.1

35UIUC%20FIN%20300%20S%26P%20500%20NDX%20100%20P%26L%20FA10%20v2.1

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UNIVERSITY OF ILLINOIS College of Business - Department of Finance - Finance 300 (Financial Markets) Professor James Jackson Spot Market Trader Profit & Loss NASDAQ SPX Date Index Value Return % Date Index Value Return % 11-Oct-84 246.2 11-Oct-84 162.68 24-Aug-87 453.3 84.119% $841,186.03 24-Aug-87 453.3 178.645% $1,786,451.93 8-Sep-87 446.2 8-Sep-87 446.2 30-Nov-87 292.9 -34.357% -$343,567.91 7-Dec-87 223.92 -49.816% -$498,162.26 7-Dec-87 302.6 7-Dec-87 223.92 13-Jul-98 2008.76 563.833% $5,638,334.43 20-Jul-98 1186.75 429.988% $4,299,883.89 13-Jul-98 2008.76 20-Jul-98 1186.75 6-Mar-00 5048.62 151.330% $1,513,301.74 27-Mar-00 1527.46 28.710% $287,095.01 1. Calculate the return % on the above trades in the Spot (Cash) Market. 2. Calculate the Profit and Loss on the above trades in the Spot (Cash) Market. Profit and Loss on Spot Market Trades SPX = $ investment ($1.0 M) * Index ROI% NDX = $ investment ($1.0 M) * Index ROI% Futures Market Trader Profit & Loss
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Unformatted text preview: NASDAQ SPX Date Index Value P & L ($) Return % Date Index Value P & L ($) Return % 11-Oct-84 246.2 11-Oct-84 162.68 24-Aug-87 453.3 $ 20,710.00 110% 24-Aug-87 453.3 $ 72,655.00 363% 8-Sep-87 446.2 8-Sep-87 446.2 30-Nov-87 292.9 $ (15,330.00)-82% 7-Dec-87 223.92 $ (55,570.00)-278% 7-Dec-87 302.6 7-Dec-87 223.92 13-Jul-98 2008.76 $ 170,616.00 910% 20-Jul-98 1186.75 $ 240,707.50 1204% 13-Jul-98 2008.76 20-Jul-98 1186.75 6-Mar-00 5048.62 $ 303,986.00 1621% 27-Mar-00 1527.46 $ 85,177.50 426% 3. Calculate the Profit and Loss ($) on the above trades in the Futures Market. 4. Calculate the return % on the above trades in the Futures Market. Profit and Loss on Futures Trades SPX = Δ Index Value * $250 NDX = Δ Index Value * $100 % Return on Investment of Futures Trades Futures Market P&L ($) / Margin Requirements ($) SPX Margin = $20,000; NDX Margin = $18,750...
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This note was uploaded on 02/10/2011 for the course FIN 300 taught by Professor Staff during the Spring '08 term at University of Illinois, Urbana Champaign.

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