Futures HW.xlsx - Q 1.A settle price contract contract...

School Ohio Wesleyan University
Course Title EMAN 465
Uploaded By ccd1333
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Q 1.A1.b1.csettle price$121.35 SettlePrice$1.371 Changecontract37500 contract42000 Dollarcontract value$45,506.25 contract value$575,610.00 contractsloss357Contracts15 Open Interest4986 risk freeContract Size5000 Contract size12,500,000.00 maturity (t)Loss-5.75 settle0.8151 FtGain in Short position$(4,312.50) Dollar Value$508,011,075.00 Spot priceCan be either a short or longDay1Day2Day313$2.07 $2.10 $2.12Contracts15Contract Size42000Initial Price2.085initial Margin

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Cook,C

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1, 1 313 500 00, 7 15, 508 011 075 00

Unformatted text preview: 7425 Matieence Margin 6500 Balance $ 1,313,500.00 Difference 1.d $ (169.00) change -0.27 $ 5.00 contract # 10 $ 25.00 contract size 60000 $ (21,125.00) Loss (162,000.00) 4.50% 0.17 94.9 94.206347077 Day4 $ 2.15 19 20 Future Price 2,399.25 Vp Cash Price 2,370.48 Vf Risk Free 5% Dp Dividend Yield 2.558% Df Maturity 0.50 Multiplier sell contracts Ft=CP(1+r-d)^t Duration insturment maturity 500,000,000 102 5.1 6.95 100,000 3,597.12 6.7 0.25...
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