Temporarily bearish on the stock market

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Reference no: EM131911819

The S&P 500 Index is currently at 2,000. You manage a $19 million indexed equity portfolio. The S&P 500 futures contract has a multiplier of $250.

a. If you are temporarily bearish on the stock market, how many contracts should you sell to fully eliminate your exposure over the next six months?

Number of contracts

b. If T-bills pay 4.0% per six months and the semiannual dividend yield is 1.8%, what is the parity value of the futures price? (Round your answer to 2 decimal places. Do not round intermediate calculations.)

Parity value

Reference no: EM131911819

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