11. Three month E-Mini Real Estate Sector Index Futures contracts are currently trading at 190. Below...

 

Transcribed Image Text:

11. Three month E-Mini Real Estate Sector Index Futures contracts are currently trading at 190. Below are the prices of the contract for today and the next three months. Assuming a continuous annual risk-free rate of 4%, initial margin of 10% (maintenance margin 70% of initial), size of $50 x Index, and monthly marking to market (for one contract): Date Now 1 2 3 Price 190 180 175 170 Margin Balance a. Fill in the table above for margin balance and margin calls (6 points) b. What is the profit from the futures position? c. What is the profit from a similar forward position? Margin Calls 11. Three month E-Mini Real Estate Sector Index Futures contracts are currently trading at 190. Below are the prices of the contract for today and the next three months. Assuming a continuous annual risk-free rate of 4%, initial margin of 10% (maintenance margin 70% of initial), size of $50 x Index, and monthly marking to market (for one contract): Date Now 1 2 3 Price 190 180 175 170 Margin Balance a. Fill in the table above for margin balance and margin calls (6 points) b. What is the profit from the futures position? c. What is the profit from a similar forward position? Margin Calls

Answer rating: 100% (QA)

a Fill all the points in the table Date Price Margin Balance Margin Calls Now 190 950 none 1 180 900 50 2 175 875 75 3 170 850 100 Using the information given in the problem we can calculate the initi... View the full answer