The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts. Like other futures, the margin is set...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts. Like other futures, the margin is set around a 10-day 99% VaR. For this, you need to use the contract specifications (i.e., multiplier of 5 contracts) and the initial margin, which was about $71,000, as of Jan 1 (this changes over time, see the exchange's web site). Use price data as of Dec 31, 2021. Compute the notional amount of one contract How much leverage can be taken given this margin? Check whether the margin is close to the observed 10-day 99% VaR The Chicago Mercantile Exchange (CME) lists bitcoin futures contracts. Like other futures, the margin is set around a 10-day 99% VaR. For this, you need to use the contract specifications (i.e., multiplier of 5 contracts) and the initial margin, which was about $71,000, as of Jan 1 (this changes over time, see the exchange's web site). Use price data as of Dec 31, 2021. Compute the notional amount of one contract How much leverage can be taken given this margin? Check whether the margin is close to the observed 10-day 99% VaR
Expert Answer:
Answer rating: 100% (QA)
Bitcoin Futures Contract on CME as of Dec 31 2021 Notional Amount Contract Multiplier 5 This means t... View the full answer
Related Book For
Multinational Finance Evaluating Opportunities Costs and Risks of Operations
ISBN: 978-1118270127
5th edition
Authors: Kirt C. Butler
Posted Date:
Students also viewed these finance questions
-
Longmont Corporation earned net income of $ 1 9 8 , 7 6 9 this year. The company began the year with 1 , 3 2 4 shares of common stock and issued 1 , 9 0 7 more on April 1 . They issued $ 7 , 7 8 0 in...
-
Data set Theory Assume an informational record with one association parent including matches (a, b) where a can't try not to be a parent of b. (a) Write a Datalog demand which gives the graph of...
-
(a) Explain how a limit worth may be tended to at run-time, both in a syntaxtree middle person and in collected code. What is the importance word "settled" already? [3 marks] (b) Give a model program...
-
You are in a supermarket, shopping for orange juice. There are several brands of orange juice on the shelf. Provide one example of how you may use the availability heuristic to decide which brand of...
-
Jackson Music Center has five TVs on hand at the balance sheet date that cost $400 each. The current replacement cost is $350 per unit. Under the lower of-cost-or-market basis of accounting for...
-
If the opening balance in retained profits is $100 000, net profit after tax is $60 000 and dividends declared and paid is $40 000, what is the balance of retained profits at year-end?
-
6. CPA QUESTION To establish a cause of action based on strict liability in tort for personal injuries resulting from using a defective product, one of the elements the plaintiff must prove is that...
-
Sticky Polymers Inc. processes a base chemical into plastic. Standard costs and actual costs for direct materials, direct labor, and factory overhead incurred for the manufacture of 10,750 units of...
-
QUESTION: What is the role of the Board of Directors of the target firm, the Independent Financial Adviser and regulators, in a privatisation? . G Grammarly X Google Translate X Paraphrasing Tool |...
-
A natural gas trading company wants to develop an optimal trading plan for the next 10 days. The following table summarizes the estimated prices (per thousand cubic feet (cf)) at which the company...
-
Evaluate comprehensively if the economic policies conducted in accordance with the principles of ethics and high moral standards be the basis for the country's economic success. Cite examples to...
-
A city's homeless population since the year 2000 can be modeled by this function: f(x)=40(x-2000) + 490 where represents the year, and f(x) represents the number of homeless people in that year....
-
How many days before trial must you serve the other side with your expert witness in information, and what code section governs? 2. How do you force a witness to attend the trial and testify? 3. If...
-
Hudson Company reports the following contribution margin income statement. HUDSON COMPANY Contribution Margin Income Statement For Year Ended December 31 Sales (11,100 units at $375 each) Variable...
-
How should an organization decide on how "cutting edge" it should be in its IT acquisition strategy? Acquiring cutting edge IT might give it a competitive advantage, but at greater risk because the...
-
Heidt Cleaning Services (HCS) is a local custodial service company serving both the residential and commercial markets. The owner is considering dropping the commercial clients because that business...
-
Some experts believe that the US government should not provide oversight of ethics in the field of healthcare. They believe that it should be left to the individual professions. On the other hand,...
-
The age-old saying for investing is "buy low and sell high," but this is easier said than done. Investors who panic about falling prices sell their investments, which in turn lowers the price and...
-
Describe the two recipes for discounting foreign currency cash flows. Under what conditions are these recipes equivalent?
-
As a security analyst for the Amsterdam branch of EASDAQ (a pan European stock exchange focused on high growth companies with international aspirations), you have identified the following model for...
-
What constitutes an insurable risk? List several insurable political risks.
-
For the following problems, propose a verification and validation tests of the CFD solution. a) Flow in confluence of two rivers. b) Wind flow around a smokestack of a coal power station and the...
-
The terms real, intangible and monetary all relate to a particular accounting concept. What is it?
-
In each of the following situations, determine which type of the error (physical model, discretization, iteration, or programming) is most likely responsible for poor performance. In each case,...
Study smarter with the SolutionInn App