Suppose it is February 22, 2006 and you have the following data for the S&P 500...
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Suppose it is February 22, 2006 and you have the following data for the S&P 500 and the FTSE 100. Since the index futures expire on the 3rd Friday of the month, there are approximately 4 months until the expiration of the June contract, and 7 months until the expiration of the September contract. Fill in the missing numbers in this table of stock index futures prices. Country US UK Index Name Index Dividend Value Yield S&P 500 1292.67 FTSE 100 5872.40 (annualized) 1.70% ??? Spot interest Futures Term rate (annualized)| (months) 4.68 % 4 4.29% 7 Futures Price (same unit as index value) ??? 5850.5 Note: Multiply by $250 to get actual values for S&P 500 spot and futures prices, and by £10 for the FTSE 100. Suppose it is February 22, 2006 and you have the following data for the S&P 500 and the FTSE 100. Since the index futures expire on the 3rd Friday of the month, there are approximately 4 months until the expiration of the June contract, and 7 months until the expiration of the September contract. Fill in the missing numbers in this table of stock index futures prices. Country US UK Index Name Index Dividend Value Yield S&P 500 1292.67 FTSE 100 5872.40 (annualized) 1.70% ??? Spot interest Futures Term rate (annualized)| (months) 4.68 % 4 4.29% 7 Futures Price (same unit as index value) ??? 5850.5 Note: Multiply by $250 to get actual values for S&P 500 spot and futures prices, and by £10 for the FTSE 100.
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Solution 1 FTSE 100 dividend yield Based on UK dividend yields at that time b... View the full answer
Related Book For
Managerial Economics
ISBN: 978-0133020267
7th edition
Authors: Paul Keat, Philip K Young, Steve Erfle
Posted Date:
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