30. Assume the FTSE 100 index futures contract attaches 10 for each point of FTSE...
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30. Assume the FTSE 100 index futures contract attaches 10 for each point of FTSE 100 share index. Also suppose, in July, the FTSE T00 share index is at (10 marks) a) Design a hedging strateqy for 15 million invested in the FTSE 100 index until 6500 and the FTSE 100 index futures price is 6600. December. (4 marks) b) Calculate the gains/losses on the futures market and the cash market if the FTSE 100 index increases to 6750 in December and the futures price increases to 6775. Show full working (3 marks) c) Calculate the gains/losses on the futures market and the cash market if the FTSE 100 index decreases to 5250 and the futures price drops to 5100 in December. Show full working
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