You have opened a futures account with a cash deposit of $10,000.00. You decide to sell...

  

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You have opened a futures account with a cash deposit of $10,000.00. You decide to sell 8 October contracts of bean meal at 305.4. Contract specs are as follows: CONTRACT UNIT 100 TONS QUOTE UNITS US$ AND CENTS/TON INITIAL MARGIN $1,122/ CONTRACT If soybean oil drops $.10, what is the equity of the account when marked-to-market? You are day-trading the S&P E-Mini contract with $3,250.00 of equity in your account. Contract specs are as follows: CONTRACT UNIT $50 x S&P 500 INDEX TIC SIZE QUOTE UNITS US$ AND CENTS/TIC 0.10/TON- $10.00 TIC SIZE 0.25 INDEX PTS= $12.50 CONTRACT MOS. Jan, Mar, May, Jul, Sep, Oct. Dec CONTRACT MOS. Mar, Jun, Sep, Dec INITIAL MARGIN $907.50/ CONTRACT (DAY-TRADE) MAINT MARGIN $1,020/ CONTRACT MAINT MARGIN $825/ CONTRACT (DAY TRADE) Based on your new sophisticated algorithm, there is an 85% chance that the S&P will fall over the next half hour, so you go all in by selling 6 June contracts. The market rises 5 tics, and then plunges 50 tics when you flatten your position (buy to close them all). What was your gross profit or loss for the day? 5. Silver futures and spot silver have a correlation factor of 0.97. If the standard deviation for the futures contract is 2.98 and the standard deviation for the spot is 1.87, what is the optimum hedge ratio? 6. Based on the results in Problem 5, what is the optimum number of contracts to hedge 5,220 troy ounces of silver held in inventory? (Each futures contract represents 100 troy ounces). 7. You are the CFO of an airline and you are concerned that jet fuel prices will increase. You know that there are no futures for jet fuel, but there are futures for gasoline. So, you call decide to check the spot price of jet fuel and gasoline. Changes in their relative prices are as follows: Mo 1 Mo A Gas Futures 2.0% Mo & Jet Fuel 2.0% Mo 2 3.0% 3.5% Mo 3 Mo 4 -4.0% 0.0% -5.0% 1.0% Mo 5 Mo 6 3.5% -3.0% 2.6% -2.0% Mo 7 -2.5% -1.0% If you are trying to hedge 1,000,000 gallons of jet fuel, how many gasoline contracts do you need to buy to adequately hedge your position? (Each futures contract represents 42,000 gallons of gasoline). You have opened a futures account with a cash deposit of $10,000.00. You decide to sell 8 October contracts of bean meal at 305.4. Contract specs are as follows: CONTRACT UNIT 100 TONS QUOTE UNITS US$ AND CENTS/TON INITIAL MARGIN $1,122/ CONTRACT If soybean oil drops $.10, what is the equity of the account when marked-to-market? You are day-trading the S&P E-Mini contract with $3,250.00 of equity in your account. Contract specs are as follows: CONTRACT UNIT $50 x S&P 500 INDEX TIC SIZE QUOTE UNITS US$ AND CENTS/TIC 0.10/TON- $10.00 TIC SIZE 0.25 INDEX PTS= $12.50 CONTRACT MOS. Jan, Mar, May, Jul, Sep, Oct. Dec CONTRACT MOS. Mar, Jun, Sep, Dec INITIAL MARGIN $907.50/ CONTRACT (DAY-TRADE) MAINT MARGIN $1,020/ CONTRACT MAINT MARGIN $825/ CONTRACT (DAY TRADE) Based on your new sophisticated algorithm, there is an 85% chance that the S&P will fall over the next half hour, so you go all in by selling 6 June contracts. The market rises 5 tics, and then plunges 50 tics when you flatten your position (buy to close them all). What was your gross profit or loss for the day? 5. Silver futures and spot silver have a correlation factor of 0.97. If the standard deviation for the futures contract is 2.98 and the standard deviation for the spot is 1.87, what is the optimum hedge ratio? 6. Based on the results in Problem 5, what is the optimum number of contracts to hedge 5,220 troy ounces of silver held in inventory? (Each futures contract represents 100 troy ounces). 7. You are the CFO of an airline and you are concerned that jet fuel prices will increase. You know that there are no futures for jet fuel, but there are futures for gasoline. So, you call decide to check the spot price of jet fuel and gasoline. Changes in their relative prices are as follows: Mo 1 Mo A Gas Futures 2.0% Mo & Jet Fuel 2.0% Mo 2 3.0% 3.5% Mo 3 Mo 4 -4.0% 0.0% -5.0% 1.0% Mo 5 Mo 6 3.5% -3.0% 2.6% -2.0% Mo 7 -2.5% -1.0% If you are trying to hedge 1,000,000 gallons of jet fuel, how many gasoline contracts do you need to buy to adequately hedge your position? (Each futures contract represents 42,000 gallons of gasoline).

Answer rating: 100% (QA)

a Selling B October contracts of bean meal at 3054 Contract Unit 100 tons Tick Size 010ton 1000 ... View the full answer