QUESTION 1 In early April 2021, the S&P/ASX 200 Index (ie the physical market) was...
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QUESTION 1 In early April 2021, the S&P/ASX 200 Index (ie the physical market) was trading at 7063.524. What is the price of the June 2021 SP1200 futures contract, which has 84 days to expiry, when the continuously compounded risk free rate of return is 2.518% and the dividend yield on the S&P/ASX 200 Index is 4.75%pa? a. 6946.36 b. 7027.33 C. 7027 d.6946 QUESTION 2 How much profit or loss would a trader make if they shorted 63 bank bill futures contracts at 99.88 and purchased them back two days later at 99.92? a. Loss of $6,973.27 b. Gain of $6,973.27 C. Loss of $4,000.23 d. Loss of $6,210.54
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