What is the futures position required to reach

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1. Suppose that a portfolio is worth $600 million. The beta of the portfolio is 1.5. The portfolio manager would like to use the CME December futures contract on the S&P 500 to change the beta of the portfolio to 0.5. The index is currently 2,400, and each contract is $250 times the index. What is the futures position required to reach this goal? Long or short? How many contracts? Please explain your answer.

2. Suppose you enter into a long futures contracts to buy crude oil for $31.50 per barrel. The size of a contract is 10,000 barrels. The initial margin is $8,000 and the maintenance margin is $ 6,000. What change in the futures price will lead to a margin call? Please explain your answer.

Reference no: EM132540696

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