review5 - numbers. Initial is how much money must be put up...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Fill in the correct answers in red so that we can use them to study for Exam 2 (unlike Exam 1 where we had no idea if our answers were correct or not)! A8 Introduction to Treasury Futures. Go to the following URL and look at the 30 year Treasury Futures quotes. URL for 30 Year Treasury Futures: http://www.cmegroup.com/trading/interest-rates/us-treasury/30-year-us-treasury- bond.html 1) Click on the tab for Contract specifications and read the definition of a futures contract. 2) Carefully read the section in Chapter 9 on Arbitrage and the determinants of Futures Prices. 3) Click on the Performance Bonds/Margins tab and find the margins for the “Long Bond” and write down the initial and maintenance margins. Use the filters and go to Exchange: “CBT”, Asset Class; “Interest Rates”, and Product; “17-30 year Treasury Bond Futures” This should bring up just one bond, and you write down the Initial and Maintenance
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: numbers. Initial is how much money must be put up to secure a $100,000 futures contract Maintenance is how much money you have to keep in your account to maintain it. This is what I wrote down from class, if anyone knows anything different, please edit this. Thanks. I think it may be helpful to know that treasury futures prices are given in points format with the numbers occurring after an apostrophe quoted in 1/32 of a point, while options on treasury futures prices are quoted similarly except the numbers occurring after an apostrophe are written in 1/64 of a point. A9 Option Contract Value lines View or download the Word file here (had a couple graphs that wouldnt paste into Google docs): https://docs.google.com/leaf? id=1qzaCFujqRh007H8e87PvTlgO_ulTgesXnnGSjoQldTc&h...
View Full Document

Page1 / 2

review5 - numbers. Initial is how much money must be put up...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online