Bitcoin futures are listed on CME under the ticker symbol BCT and equals five bitcoins with one
Question:
Bitcoin futures are listed on CME under the ticker symbol "BCT" and equals five bitcoins with one tick set to $5 per Bitcoin. The Maintenance Margin is the amount required to carry a contract past the daily close (as a percentage of the price). For one contract, the Maintenance Margin is 140% and the daily margin is 7%:
Yesterday, the mid-price of the March contract (March 1st) was 39,400$ while the spot was 38,780$. Using the fair-value formula, find the discount rate. What can explain this result?
How much does one need on their account if they want to trade 5 Bitcoins?
A stock pays a dividend of $0.5 per share every quarter. The stock price is 100$ and the risk free rate is 4% per annum. An investor has just taken a short position in a 12-month forward contract on the stock.
1) One month later, the price of the stock is $102. What is the value of the short position in the forward contract?
2) On the same day, the investor decides to buy a similar forward contract. What is the new forward price assuming continuous compounding?
Financial Accounting
ISBN: 978-0078025556
8th edition
Authors: Robert Libby, Patricia Libby, Daniel Short