The S&P 5 0 0 Index is currently at 1 , 1 0 0 . You manage
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Question:
The S&P Index is currently at You manage a $ million indexed equity portfolio. The S&P futures contract has a multiplier of $
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?
b If Tbills pay per six months and the semiannual dividend yield is what is the parity value of the futures price? Do not round intermediate calculations. Round your answer to decimal places.
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