You are long 10 gold futures contracts, established at an initial settle price of $1,580 per ounce, where each contract represents 100 ounces. Over the subsequent four trading days, gold settles at $1,584, $1,581, $1,589, and $1,597, respectively. a. Calculate the profit or loss for each trading day. (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) b. Compute your total profit or loss at the end of the trading period. (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.)

You are long 10 gold futures contracts, established at an initial settle price of $1,580 per ounce, where each contract represents 100 ounces. Over the subsequent four trading days, gold settles at $1,584, $1,581, $1,589, and $1,597, respectively. a. Calculate the profit or loss for each trading day. (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) b. Compute your total profit or loss at the end of the trading period. (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Gold is trading at a one-year futures price of $2,005 per troy ounce. A futures contract comprises 100 troy ounces. The initial margin is $50,125 and the maintenance margin is $32,080. You are short one futures contract. There is a margin call when the price per troy ounce of gold changes to: Group of answer choices A) $1,967 B) $2,207 C) $1,858 D) $2,120
position in gold futures wants the price of gold to 1. A trader who has a in the future. A. long; decrease B. short; decrease C. short; stay the same D. short; increase 2. A company enters into two long positions in a futures contract of a commodity for $60 per unit. The contract size is 1,000. The initial margin is $6,000 and the maintenance margin is $4,000. What futures price will allow $2,000 to be withdrawn from the margin account? A. $58 B. $62 C. $61 D. $59
Suppose an investor takes a long position in 1 Gold futures contract, and the following information is given: Contract size = 100 ounces. Futures price = $500 Initial margin = $3,000 per contract. Maintenance margin = $2,000 per contract Date Jan. 1 Jan. 2 Jan. 3 Jan. 4 Jan. 5 Jan. 6 Jan. 7 Jan. 8 Future prices 494 495 488 490 491 474 475 474 i) In which days will there be a margin call? How much will be the variation margin in all cases? ii) In which days do the balances in the margin account exceed the initial margin? B) Party A agrees to pay Party B a fixed rate of 4%. Party B agrees to pay Party A a floating rate based on the return of the S&P 500 Index. The payments will be made annually and will be based on a notional principal of $1,000,000. i) Suppose at the end of the first year, the S&P 500 appreciated by 4.5%. How much will Party B will pay Party A II) What will happen in the second year, if the S&P 500 depreciated…
Consider a 6-months futures contract on gold. We assume no income and that $1 per ounce per 6-months to store gold, with the payment being made at the end of the period. The spot price is $1620 and risk free rate is 2% for all maturities. How can an arbitrageur earn profit is the price of 6-month gold futures is 1630$?
Suppose you sell seven March 2021 silver futures contracts on December 4, 2020, at the last price of the day. Use Table 25.2. a. What will your profit or loss be if silver prices turn out to be $25.01 per ounce at expiration? (Enter your answer as a positive value. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.) b. What will your profit or loss be if silver prices are $23.13 per ounce at expiration? (Enter your answer as a positive value. Do not round intermediate calculations and round your answer to the nearest whole number, e.g., 32.) a. b.
Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. a. What are the initial margin and maintenance margin on your margin account?
Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. c. What is your total profit after you closed out your position?
Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. b. Fill the appropriate numbers in the blank cells in the following table. (Hint: See solution to Q19 in Lesson 2 Learning…
3. You take a long position in the Gold futures on 1/15 when the futures price is 1600/oz. Each contract is for a 100 oz. The initial margin is $10,000 and the maintenance margin is $6,000. Following your trade, the market moves in the following manner. Date 1/16 1/17 1/18 Settlement Price ($/oz) 1620 1580 1540 1/21 1/22 1490 1530 a. On what day(s) do you get a margin call and what are the amounts of the margin calls? Answer: Day Price Daily Gain/Loss A/c Balance Margin Call 1/16 1620 +20*100 = +2,000 10,000+2,000=12,000 0 1/17 1580 -40*100-4,000 12,000-4,000 = 8,000 0 1/18 1540 -40*100 -4,000 8,000 -4,000 = 4,000 6,000 1/21 1490 -50*100-5,000 1/22 1530 +40*100 = +4,000 10,000-5,000 5,000 10,000+4,000=14,000 5,000 0 You get a margin call on 1/18 for 6,000 and 1/21 for 5,000
suppose you buy an non-dividend paying asset at $50 and sell a 6 month futures contract at $53. What is your profit or lost at expiration if the asset price down to $47? current 6 month interest is 0.25% p.a. (Ignore carrying costs and transaction cost)? What happens to the basis through the contract's life? a.none of the above b.it initially decreases, then increases c.it initially increases, then decreases d.it moves toward zero at expiry e.it remains relatively steady
Consider the following prices, volume and open interest for gold futures contracts. Contract size: 100 oz Price units: $/oz (a) What was the value of the contract that expires in February 2022 when the market closed? (b) Which futures contracts had a higher settle price on the previous trading day? (c) Would a speculator prefer to go short at the daily high price or the daily low price?
Consider a 12-months futures contract on silver. Assume no income and that it costs $X per ounce per year to store silver, with payment being made at the end of the year. The spot price is $26 per ounce and the risk free rate is 4% per annum for all maturities, based on continuous compounding. The futures price of the 12-month futures contract on silver is $29 per ounce. Assume that no arbitrage Futures-Spot parity with storage costs holds. The storage cost per ounce per year ($X) is, a. $2.88 b. $1.86 c. $1.94 d. $3.00 e. $2.15

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