Exam 2: Futures Markets

Plutonium is trading at a one-year futures price of $5,000 per gram. A futures contract comprises 100 grams. The initial margin is $100,000 and the maintenance margin is $80,000. You are short one futures contract. There is a margin call when the price per gram of plutonium changes to

The cheapest-to-deliver option

In the absence of arbitrage, the futures price at maturity should equal

An investor enters into a long position in 10 gold futures contracts at a futures price of $1000/oz and closes out the position at a price of $1020/oz. If one gold futures contract is for 50 ounces, what are the investor's gains or losses?

Ignoring convenience yields, the theoretical futures price for a commodity with a positive cost of carry should typically exhibit

You go short oil 10 futures contracts on NYMEX when the futures price of oil is $79 a barrel and close out your position three days later at a futures price of $83 a barrel. One futures contract is for 1,000 barrels. Ignoring interest on the margin account, the futures trading has resulted in a

When a counterparty to a futures contract fails to perform under the contract,

A "stack-and-roll" strategy makes profits from the "roll" part when

March what futures are trading at $4.20 a bushel and May wheat futures are trading at $4.35 a bushel. You expect the spread between May and March futures prices to widen. To speculate on this view, you would

The level of margining in a futures contract takes as an important input

September corn futures are currently trading at $3.80 a bushel while the spot price of corn is $3.65 a bushel, so the "basis" (the futures price minus the spot price) is $0.15 a bushel. If you expect the basis to weaken (i.e., to fall) significantly in the next few days, you can speculate on your view by

If the market is in backwardation

Futures contracts are more likely to be cash-settled when

Which of the following features distinguish futures markets from forwards markets?

A calendar spread futures position comprises

A price tick is

The most widely traded futures are of the following type:

When the futures-spot basis weakens

Which of the following types of orders does not involve specifying a price limit or trigger price as part of the order?

For a futures contract on an asset to be successful compared to the alternative of forward contracts, which of the following features would help?