1. Assume that Gold had a price on day zero of $1,850/ounce and that both the short and long futures position initially were required to post a margin of $4,500. On day one the price of gold changes to $1,900.  What is new value of the long futures margin account.

 

2. SPY tracks the S&P Index and is currently at $403.3. The riskless rate for 6-months is 0.7%. What should be the Futures price for delivery of 100 SPY shares 6-months from now.

 

3. For firm needs 1,000,000 barrels of WTI crude oil 6 months from today. You enter into a forward contract to receive WTI crude oil 6 months from today. The current price of a barrel of WTI is $47, the cost of storage for 6-months is $3.6, and the riskless rate of return is 2% for 6 months. The cost of storage needs to be paid today. What will the maximum contracted price today be for the payment to be made 6-months from now for 1,000,000-barre delivery. You will pay the counterparty the contracted price 6-months from now. Assume zero transaction costs.

 

4. A butterfly spread is an options strategy combining bull and bear spreads, with a fixed risk and capped profit. These spreads, involving either four calls, four puts or a combination, are intended as a market-neutral strategy and pay off the most if the underlying does not move prior to option expiration. have set up a butterfly spread on IBM stock by writing (selling) two call options at strike price $150, and also buying one call at strike price $130 and buying another call at strike price $170. On maturity date the price of IBM is $152.0. What is the net payoff on maturity date.

Answer rating: 100% (QA)

The initial margin posted by both the long and short position is 4500 so the total margin posted is 9000 After the price of gold changes to 1900 the g... View the full answer