Business
Business, 06.12.2019 05:31, ruba806

It is now january. the current interest rate is 6.8%. the june futures price for gold is $1557.60, while the december futures price is $1,558. assume the june contract expires in exactly 6 months and the december contract expires in exactly 12 months. 1. calculate the appropriate price for december futures using the parity relationship?

2. is there an arbitrage opportunity here?

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Business, 06.09.2019 20:10, mendezmarco2004
The current price of gold is $864 per troy ounce. assume that you initiate a long position in 10 comex gold futures contracts at this price on 7-july-2016. the initial margin is 7% of the initial price of the futures, and the maintenance margin is 5% of the initial price. assume the following evolution of gold prices over the next five days, and compute the margin account assuming that you meet all margin calls.
Answers: 3
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Business, 09.09.2019 18:10, police76
An investor enters into a short futures position in 10 contracts in gold at a futures price of $276.50 per oz. the size of one futures contract is 100 oz. the initial margin per contract is $1,500, and the maintenance margin is $1,100. a. what is the initial size of the margin account? b. suppose the futures settlement price on the first day is $278.00 per oz. what is the new balance in the margin account? does a margin call occur? if so, assume that the account is topped back to its original level. c. the futures settlement price on the second day is $281.00 per oz. what is the new balance in the margin account? does a margin call occur? if so, assume that the account is topped back to its original level. d. on the third day, the investor closes out the short position at a futures price of $276.00. what is the final balance in his margin account? ignoring interest costs, what are his total gains or losses? 2. the current price of gold is $864 per troy ounce. assume that you initiate a long position in 10 comex gold futures contracts at this price on 7-july-2016. the initial margin is 7% of the initial price of the futures, and the maintenance margin is 5% of the initial price. assume the following evolution of gold prices over the next five days, and compute the margin account assuming that you meet all margin calls. date price per ounce 7-jul-2016 $864 8-jul-2016 $860 9-jul-2016 $858 10-jul-2016 $852 11-jul-2016 $842 12-jul-2016 $840
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Business, 11.09.2019 22:10, ctyrector
Suppose the spot price of gold is $1200 per ounce. the futures price for delivery in six months is $1208, while the futures price for delivery in one year is $1214. the interest rate on 6-month loans is 1.00 percent (on an annual basis)
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Business, 15.10.2019 18:30, jerenasmith77
Today is june 8th. an airline company wants to purchases 2,000,000 gallons jet fuel on december 8th (of the same year). they fear that the price of jet fuel will rise and thus would like to hedge the purchase of jet fuel by a futures contract. unfortunately, there exists no jet fuel futures contract. however, a futures contract for heating oil trades at the nymex (new york mercantile exchange) and, it is known that jet fuel is a derivative of heating oil. the spot price of jet fuel is $0.95 per gallon on june 8th. we assume that the spot price follows a geometric brownian motion with the expected annual log-return 2%, and annual volatility 10%. on june 8th, a futures contract specifies $1.03 per gallon for 500,000 gallons of heating oil for delivery on december 8th. we assume this price also follows a geometric brownian motion with the expected annual log-return 2%, and annual volatility 8%. we also assume that the correlation between the futures contract price of heating oil and the spot price of jet fuel is 0.94 on december 8th. what is the minimum variance hedge ratio? equivalently, how many future contracts of heating oil the airline company should buy?
Answers: 2
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