6 . One Chicago has just introduced a new single stock futures contract on the stock of Brandex, a company that currently pays no dividends. Each contract calls for delivery of 1,500 shares of stock in one year. The T-bill rate is 6% per year.

a.If Brandex stock now sells at $200 per share, what should the futures price be?(Round your answer to 2 decimal places.)

Futures price$

b.If the Brandex stock price drops by 3.0%, what will be the change in the futures price and the change in the investor's margin account?(Input all amounts as positive values.Do not round intermediate calculations.Round your answers to 2 decimal places.)

New futures price$

Investor's margin account (GAINES/ LOSES) $

c.If the margin on the contract is $30,000, what is the percentage return on the investor's position?(Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)

Percentage return%

7 . One Chicago has just introduced a new single stock futures contract on the stock of Brandex, a company that currently pays no dividends. Each contract calls for delivery of 1,500 shares of stock in one year. The T-bill rate is 6% per year.

a.If Brandex stock now sells at $200 per share, what should the futures price be?(Round your answer to 2 decimal places.)

Futures price$

b.If the Brandex stock price drops by 3.0%, what will be the change in the futures price and the change in the investor's margin account?(Input all amounts as positive values.Do not round intermediate calculations.Round your answers to 2 decimal places.)

New futures price$Investor's margin account(Click to select)

gains

loses

$

c.If the margin on the contract is $30,000, what is the percentage return on the investor's position?(Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)

Percentage return%

8 . The multiplier for a futures contract on the stock-market index is $250. The maturity of the contract is one year, the current level of the index is 800, and the risk-free interest rate is 0.6% per month. The dividend yield on the index is 0.3% per month. Suppose that after one month, the stock index is at 815.

a.Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.(Do not round intermediate calculations.Round your answer to 2 decimal places.)

Cash flow$

b.Find the one-month holding-period return if the initial margin on the contract is $20,000.(Do not round intermediate calculations.Round your answer to 2 decimal places.)

Holding-period return%

9 . Suppose the value of the S&P 500 Stock Index is currently $2,200. If the one-year T-bill rate is 5.6% and the expected dividend yield on the S&P 500 is 5.2%.

a.What should the one-year maturity futures price be?(Do not round intermediate calculations.)

Futures price$

b.What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 4.2%?(Do not round intermediate calculations.)

Futures price$

10 . The margin requirement on the S&P 500 futures contract is 8%, and the stock index is currently 1,400. Each contract has a multiplier of $250.

a.How much margin must be put up for each contract sold?

Margin$

b.If the futures price falls by 1% to 1,386, what will happen to the margin account of an investor who holds one contract?(Input the amount as a positive value.)

Margin account(Click to select)

increases

decreases

by $.

c-1.What will be the investor's percentage return based on the amount put up as margin?(Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.)

Percentage return%

c-2.What would be the current cash balance in the margin account?

Cash balance$