Exam 14: Futures Contracts

Which one of the following terms is defined as the strategy of monitoring the futures price on a stock index in relation to the value of the underlying index to profit from any parity deviations?

The spot rate on a non-dividend-paying stock is $15.70.The risk-free rate is 3.15 percent and the market rate is 10.75 percent.What is the three-month futures rate if spot-futures parity exists?

Sugar is currently selling for $0.201 a pound while the 6-month futures price is $0.208.You take a long position in the 6-month sugar futures.Which one of the following prices would cause you the greatest loss if that price turns out to be the actual price of sugar per pound 6 months from now?

A farmer has a long position in barley and hedges it with a short position in wheat.Which one of the following terms applies to this situation?

Which one of the following entails the use of computers to monitor prices and also to submit trade orders in response to arbitrage opportunities?

When the seller of a futures contract is granted a choice among various assets to deliver,the seller is said to have which one of the following options?

Your broker requires an initial margin of $1,500 and a maintenance margin of $1,000 on Treasury note futures.Treasury note futures contracts are based on a $100,000 par value and quoted in points and one-half of 1/32 of a point.You own one Treasury futures contract that had a closing settlement quote of 113′245 yesterday.Today,the settlement quote is 112′265.Your margin balance at yesterday's close was $1,150.All margin calls restore margin levels to their initial level.Will you receive a margin call based on today's settlement quote and if so,for what amount?

What is the amount of the difference between the highest and the lowest value of a November heating oil contract on this day?

An investor who shifts risk is referred to as which one of the following?

Which one of the following is another name for the cash market?

The spot price for a non-dividend-paying stock is $24.The risk-free rate is 2.8 percent and the market rate is 10.6 percent.What is the 6-month futures price of this stock if spot-futures parity exists?

Southern Fields has an inventory of 838,000 pounds of sugar.The firm placed a partial hedge on this inventory by selling 6 futures contracts at 9.56.The futures contracts are based on 112,000 pounds and quoted in cents per pound.At the time the firm sold the sugar,the spot rate was 9.63.How much profit did the firm lose because of the hedge?

The duration of a 3-month Treasury futures contract is 3.46 years.What is the duration of the underlying Treasury note?

What price will be used for this day for the mark-to-market per pound on December cotton?

Southern Fuel has an inventory of 756,000 gallons of heating oil.The futures contracts on heating oil are based on 42,000 gallons.If the firm wishes to fully hedge its inventory,it should take which one of the following positions in heating oil futures contracts?

Which one of the following is the definition of maintenance margin?

What is the difference between this day's high and closing prices for one 10-year Treasury note futures contract Treasury note,$100,000,pts and one-half of 1/32 of a point.

Which one of the following describes the typical initial margin requirements for a futures contract?

You purchased 4 DJIA index futures at a price of 17,600.The contract size is $10 times the level of the index.The futures are maturing today when the price is 17,282.What is the amount of your profit or loss?

What is the highest price at which the May coffee futures contract traded during this day?