Determine the profit when the position is closed on november

Assignment Help Risk Management

Reference no: EM13925955

During the first six months of the year, yields on long-term government debt have fallen about 100 basis points. You believe the decline in rates is over, and you are interested in speculating on a rise in rates. You are, however, unwilling to as- sume much risk, so you decide to do an intra- market spread. Use the following information to construct a T-bond futures spread on July 15, and determine the profit when the position is closed on November 15.10 sale rch the investor owns 100,000 shares of the stock. Set up a transaction by determining the appropriate number of futures contracts. Then determine the effective return on the stock if, on December 31, the stock is sold at 28.88, the futures contract is at 432.30, and the multiplier is 500. Explain your results.

Reference no: EM13925955

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