Problem $17-24($Algo$)$

The S&P $500$ Index is currently at $2,500.$ You manage a $$20$ million indexed equity portfolio. The S&P $500$ futures contract has a multiplier of $$50.$

Required:

a$.$ If you are temporarily bearish on the stock market, how many contracts should you sell to fully eliminate your exposure over the next six months?

Number of contracts:$\_\_\_\_\_\_\_\_\_\_\_\_\_$

b$.$ If T$-$bills pay $1\mathrm{.}2\%$ per six months and the semiannual dividend yield is $1\mathrm{.}6\%,$ what is the parity value of the futures price? $($Do not round intermediate calculations. Round your answer to $2$ decimal places.$)$ Parity value:$\_\_\_\_\_\_\_\_\_\_\_$