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Problem
Gold futures prices are quoted in dollars per ounce, contract size is 100 ounces. The E-mini S&P 500 futures price is quoted in the S&P 500 Index value and contract size is a multiple of $50 times the price quote. Crude oil futures prices are quoted in dollars per barrel, contract size is 1,000 barrels and the initial margin requirement is $9,000 per contract.
The current spot price of gold is 1,947.50 and the current S&P 500 Index value is 3,874.50. The annual risk-free rate is 4.5% and the annual dividend yield on the S&P 500 is 3.6%. 4 pts
1. What is the 2-month gold futures price that satisfies spot-futures parity?
2. What is the 6-month E-mini S&P 500 futures price that satisfies spot-futures parity?
3. Suppose the actual 9-month gold futures price is 2,003.15. Would you implement a cash and carry spot-futures arbitrage strategy or a reverse cash and carry spot-futures arbitrage strategy? What would you expect your riskless arbitrage profit per ounce to be?
Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..
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