The multiplier for a futures contract on a stock market index is $105. The maturity...
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The multiplier for a futures contract on a stock market index is $105. The maturity of the contract is 1 year, the current level of the index is 1,910, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after 1 month, the stock index is at 1,930.
a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
b. Find the holding-period return if the initial margin on the contract is $6,100. (Do not round intermediate calculations. Round your answer to 2 decimal places.)
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