Exam 17: Futures Markets and Risk Management

An investor establishes a long position in a futures contract now (time 0)and holds the position until maturity (Time T).The sum of all daily settlements will be __________.

The advantage that standardization of futures contracts brings is that _____ is improved because ____________________.

Which one of the following refers to the daily settlement of obligations on future positions?

You take a long position in a futures contract of one maturity and a short position in a contract of a different maturity,both on the same commodity.This is called __________.

An established value below which a trader's margin may not fall is called the ________.

Futures contracts have many advantages over forward contracts except that _________.

The ________ and the _______ have the lowest correlations with the large-cap indexes.

If the S&P 500 index futures contract is overpriced relative to the spot S&P 500 index,you should __________.

Approximately __________ of futures contracts result in actual delivery.

You own a $15 million bond portfolio with a modified duration of 11 years and you want to limit your risk but institutional constraints prohibit trading the bond portfolio.T-bond futures are available with a modified duration of the deliverable instrument of 8 years.The futures are priced at $105,000.The proper hedge ratio to use is ______.

Violation of the spot-futures parity relationship results in _______________.

Which one of the following exploits differences between actual future prices and their theoretically correct parity values?

The time on Friday with simultaneous expirations of S&P index futures,S&P index options and options on some individual stocks is commonly called the _______.

A one year gold futures contract is selling for $641. Spot gold prices are $600 and the one year risk free rate is 6%. -The arbitrage profit implied by these prices is _____________.

In the context of a futures contract,the basis is defined as ______________.

A one year gold futures contract is selling for $641. Spot gold prices are $600 and the one year risk free rate is 6%. -A hypothetical futures contract on a non-dividend-paying stock with current spot price of $100 has a maturity of four years.If the T-bill rate is 7% what should the futures price be?

Probably the most active forward market is for _____________.

The open interest on silver futures at a particular time is the number of __________.

Which one of the following is a true statement?

You are currently long in a futures contract.You then instruct a broker to enter the short side of a futures contract to close your position.This is called __________.