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Find the cash flow from the mark-to-market

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Reference no: EM133002938

The multiplier for a futures contract on a stock market index is $60. The maturity of the contract is 1 year, the current level of the index is 1,820, and the risk-free interest rate is 0.6% per month. The dividend yield on the index is 0.3% per month. Suppose that after 1 month, the stock index is at 1,840.

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.)

Cash flow

b. Find the holding-period return if the initial margin on the contract is $5,200. (Round your answer to 2 decimal places.)

Holding period return

Reference no: EM133002938

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