Concept of implied repo rate on an index arbitrage trade

Reference no: EM131325847

On August 20 a stock index futures, which expires on September 20, was priced at 429.70. The index was at 428.51. The dividend yield was 2.7 percent.

Discuss the concept of the implied repo rate on an index arbitrage trade. Determine the implied repo rate on this trade, and explain how you would evaluate it.

Reference no: EM131325847

Questions Cloud

Identify and discuss criminal investigative techniques : Describe three of the new-age crimes termed "white collar crime." Identify and discuss criminal investigative techniques employed in the white-collar crimes you described

Why do you believe that laws are needed in our society : You have been discovering what the law is, the sources upon which the U.S. legal system is based, the structures of the state and federal court systems in the United States, the differences between criminal law and civil law, as well as the defini..

Determine the implied repo rate on the spread : On March 16, the June T-bond futures contract was priced at 100 17/32 and the September contract was at 99 17/32. Determine the implied repo rate on the spread.

Interest in the relationship between the job vacancy rate : In recent years, labor economists have had renewed interest in the relationship between the job vacancy rate (open but unfilled job postings) and the unemployment rate. This relationship is commonly represented by the "Beveridge Curve" (named aft..

Concept of implied repo rate on an index arbitrage trade : Discuss the concept of the implied repo rate on an index arbitrage trade. Determine the implied repo rate on this trade, and explain how you would evaluate it.

Describe the impact of social media on the criminal justice : Describe the impact/interaction the form of social media had upon the criminal justice system.Explain the effects of the positive impact/interaction and suggest additional ways in which the criminal justice system can use this form of social media.

Monthly job vacancy rate and unemployment rate : You have data on the monthly job vacancy rate and unemployment rate in the U.S. and wish to estimate the Beveridge Curve. Use a graph and a static time series model to estimate the Beveridge Curve using the data provided. Interpret your results ..

What are tech performance options in response : Tech Performance, Inc., completes programming and other tech services for Uno IT Products Corporation. When Uno's computer system crashes, it loses $500,000 worth of business and pays $100,000 to have the system reprogrammed. What are Tech Perform..

Determine the price that would be necessary : Assume that the price at 3:00 P.M. was 150 15/32. Determine the price at 5:00 P.M. that would be necessary to justify deliver.

User Account

All Pages