Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract

	Month	Spot Price End of Month(S)	Futures Price, End of Month (F)	Change in Futures Price	Contract Size (ounces)	Buyer/Long Position	Seller/Short Position
Contract Initiated	0	1307.00	1339.84	--	100	(c)	(c)	Initial Margin
	1	1309.00	1335.25	(b)	100	(c)	(c)	Monthly Adjustments
	2	(a)	1336.76	(b)	100	(c)	(c)
	3	1332.00	1345.29	(b)	100	(c)	(c)
	4	1325.00	(a)	(b)	100	(c)	(c)
Delivery	5	(a)	1321.00	(b)	100	(c)	(c)
						(c)	(c)	Account Bal. Month 5

For the questions below answers must contain at least three digits after the decimal point.

1. In the table above, show your answers in the cells marked by “a” (10 pts)

1. In the table above, show your answers in the cells marked by “b” (9 pts)
2. In the table above, show your answers in the cells marked by “c” (9 pts)

Answer rating: 100% (QA)

Here are the calculations for the cells marked by a b and c in the table a To calculate the change i... View the full answer