45 46 47 48 C-3 A futures market exists for a commodity that can be stored...

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45 46 47 48 C-3 A futures market exists for a commodity that can be stored and sold short. The underlying spot is priced at $114.5, borrowing costs are 6% of the spot price for the 3 points time to maturity, storage costs are $2.75 and the underlying spot will pay a coupon of $3.25 during the contract period. If the futures is correctly priced to prevent arbitrage what is the current basis? (Ignore transactions costs and risk premiums) 49 50 51 52 53 54 55 56 57 58 59 60 61 C-4 The value of your well diversified stock portfolio declined from $6 million to $5.5 million, but you made $225,000 on your futures hedge over the same time period. The 3 points market declined by 2.64% over your holding period. What was your portfolio's effective stock beta including the futures position? 62 63 64 65 66 67 45 46 47 48 C-3 A futures market exists for a commodity that can be stored and sold short. The underlying spot is priced at $114.5, borrowing costs are 6% of the spot price for the 3 points time to maturity, storage costs are $2.75 and the underlying spot will pay a coupon of $3.25 during the contract period. If the futures is correctly priced to prevent arbitrage what is the current basis? (Ignore transactions costs and risk premiums) 49 50 51 52 53 54 55 56 57 58 59 60 61 C-4 The value of your well diversified stock portfolio declined from $6 million to $5.5 million, but you made $225,000 on your futures hedge over the same time period. The 3 points market declined by 2.64% over your holding period. What was your portfolio's effective stock beta including the futures position? 62 63 64 65 66 67