On January 1^st, 2017, your first client established a portfolio with $1,000,000. They purchased the top 10 Australian shares at the time, giving them proportions according to the market capitalisation. They have recently become concerned about a potential market downturn over the next three months due to a mutated COVID strain and has asked you to set up a hedge for her using SPI200 futures contracts. The contract will be established today (19^thFebruary 2021) and should be in place until at least May 19^th, 2021.

2021/2/19 profolio value is $993740.4474

question: Choose an appropriate futures contract.

A snapshot of SPI200 futures prices as of February 19^th is provided.

Determine which contract should be chosen stating the day of expiry for the contract.

Calculate the theoretical value for the contract, state all assumptions and provide the source of your assumptions.

Discuss any differences between the theoretical value you have calculated and the listed value of the forward contract.

ASX: OPEN ASX 24: OPEN FRI 3 FEB 122 AM AEDT X ASX Q LOGIN Equity indices S&P/ASX 200 SPI 200 MINI SPI GROSS TOTAL RETURN WARRANTS S&P/ASX 200 Index Options XJO View SP1200 options Underlying Asset XJO S&P/ASX 200 DAY RANGE LAST 6,853.90 S DAY CHG A 0.69% ASX SP1200 Index AP FUTURES OPTIONS CODE EXPIRY DATE BID OFFER LAST TRADE CHANGE VOLUME PREVIOUS SETTLEMENTO APG2021 Feb 21 0.00 (0.00%) 6862.000 As of 17/02/21 6904.000 As of 18/02/21 APH2021 Mar 21 6777.000 6778.000 V 60.00 15246 6778.000 As of 19/02/21 6837.000 As of 18/02/21 APJ2021 Apr 21 6750.000 6795.000 0.00 (0.00%) 0 6837000 As of 18/02/21 APM2021 Jun 21 6752.000 6754.000 0.00 (0.00%) 0 6806.000 As of 17/02/21 6813.000 As of 18/02/21 APU2021 Sep 21 6764 000 0.00 (0.00%) 0 As of 16/02/21 6742.000 As of 18/02/21 APZ2021 Dec 21 5700.000 As of 30/10/20 0.00 (0.00%) 0 6722.000 As of 18/02/21 APH2022 Mar 22 0.00 (0.00%) 6655.000