Consider a long position of 18 index futures that have 7 months to expiry and...
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Consider a long position of 18 index futures that have 7 months to expiry and a contract size of 100 index units. The stocks in the index have an average dividend yield of 1.2% and the current 7 -month interest rate is 1.6%. What is the delta of this position with respect to the index? Note: Your answer must be accurate to within 0.1. Consider a portfolio that has a delta of 265 with respect to some asset. If the asset changed in price by 1.5% from an initial price of $40, what is the resultant change in the value of this portfolio? Note: Your answer must be accurate to within one cent
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