Explain why the exchange might be interested in this calculation. Answer: Required Maintenance margin level for crude: Based on the calculation from the data‚ the standard deviation of daily changes in price of the crude oil futures contract is $0.31 per barrel or $310 per contract. If there is a 1% risk‚ the z statistic for a level of significance of 1% is 2.33. With 1% chance that
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computer for the bid of a purchase contract from Konig & Cie.‚ AG. * Four other computer manufacturers‚ including RMAG‚ EDAG and Digitex‚ would bid for the contract. The competitors’ prices will most likely be around the $872‚000 proposed by RMAG. * Computron used cost based pricing (firm’s standard pricing policy): The European Price= U.S. cost + 33.33% x Cost (Markup) + Transportation and installation cost + Import duty. * For Computron to win the contract‚ the threshold of highest bidding
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Introduction Aside from the Companies Act 1965‚ the primary laws governing the regulation of securities and futures in Malaysia are the Securities Industry Act 1983‚ the Securities Commission Act 1993 and the Futures Industry Act 1993. The term ‘securities laws’ is defined in the Securities Commission Act as meaning these Acts as well as the Securities Industry (Central Depositories) Act 1991: section 2. References to these laws also include references to any regulations‚ rules‚ orders‚ notifications
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Linked to Commodity Futures Professor Richard Spurgin FIN 5310 – 1 Group 1 Zhongyi Qian Hao Cheng Yue Zhao Liuyang Gao Motivation for issuing the security Prior to the Swedish Export Credit Co. issued the security‚ the performance of the GSCI showed that this index was clearly attractive. First‚ the increasing-trend cumulative total returns were higher than the returns on S&P 500 and the Treasury bonds‚ and then it became more diversified with more futures contracts introduced after
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but with the limitation of being traded on futures exchanges. 2. Are lawmakers justified in their concerns that speculation is driving up commodity prices? Yes‚ they are. I agree with the lawmakers in their concern that speculation is driving up commodity prices in general. It’s very alarming the surge in investments by big institutions such as pension funds and university endowments allocating money to commodities tied to indexes that track future exchanges. Seeing how big institutions have
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contacted you this year to help him with some risk management decisions. a. He told you he is going to harvest 200‚000 pounds of oranges this October if the weather is normal. You did your research and find no futures contracts of orange trading at any exchanges but there are contracts for condensed orange juice
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Solutions 1. Selling a contract is a short position. If the price rises‚ you lose money. Loss = (1‚250 – 1‚200) $250 = $12‚500 2. Futures price = S0 (1+ rf − d)T = $1‚200 (1 + .01 – .02) = $1‚188 3. The theoretical futures price = S0 (1+ rf)T = $1‚700 (1 + .02) = $1‚734. At $1‚641‚ the gold futures contract is underpriced relative to the gold spot price. To benefit from the mispricing‚ we sell what is overpriced (gold) and buy what is underpriced (futures contract). Specifically‚ we will
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to a year prior (3/1/12). To begin my project I first found the daily prices for my 6 stocks from March 1st 2012 – March 1st‚ 2013. To find these I used the Bloomberg Terminal as a search engine and then also found the S&P 500 historical futures prices for the same period as for the 6 stocks. After finding these daily returns I then allocated my weights dividing them up throughout my $100‚000 of capital. After allocating my weights I then calculated my number of shares for each stock by
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Problem 20-6 on Call Options based on Chapter 20 (Excel file included) You own a call option on Intuit stock with a strike price of $40. The option will expire in exactly 3 months’ time. a. If the stock is trading at $55 in 3 months‚ what will be the payoff of the call? • Payoff-max=(50-s) = max (55-40)=15 the Ford owner will gain $15 b. If the stock is trading at $35 in 3 months‚ what will be the payoff of the call? • Payoff-max=(35-s) = max (35-40)=-5 the owners will gain $-5 c. Draw
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for Hedging Receivables. a. Assume that Carbondale Co. expects to receive S$500‚000 in one year. The existing spot rate of the Singapore dollar is $.60. The one‑year forward rate of the Singapore dollar is $.62. Carbondale created a probability distribution for the future spot rate in one year as follows: Future Spot Rate Probability $.61 20% .63 50 .67 30 Assume that one‑year put options on Singapore dollars are available‚ with an exercise price of
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