A futures contract on a 30-day Eurodollar time deposit is currently selling at an IMM index...

A futures contract on a 30-day Eurodollar time deposit is currently selling at an IMM index of 95.75 percent. The IMM index on a 30-day Eurodollar time deposit for immediate delivery is 95.10 percent. What is the basis?

please show work

Solutions

Expert Solution

The basis = Cash price - Futures price

Cash price = 95.10 percent

Futures price = 95.75 percent

The basis = 95.10 - 95.75

The basis = -0.65 percent

jeff jeffy answered 2 years ago

Next > < Previous

Related Solutions

The Eurodollar futures contract (ED) has contract size of $1 million, a tick size of 0.005%...

The Eurodollar futures contract (ED) has contract size of $1 million, a tick size of 0.005% and a tick value of $12.50 per tick. If the initial margin is $300 and the maintenance margin is $250, how much additional deposit per contract does an investor have to make to the account (to keep the account open if fell below maintenance) if the price of the contract moves from $99.875 to $99.850 ? $62.50 $50.00 $0 $125.00

You are considering a futures position in the futures contract written on the STAR Index. This...

You are considering a futures position in the futures contract written on the STAR Index. This is an index consisting of technology stocks that specialise in inter-planetary travel, and the current index level is 18,746. Assume that is possible to short sell the index. The future value of dividends expected to be paid over the next year is $376 and the 1-year interest rate is 4%. d. It is also possible to trade in options contracts on the STAR Index....

Assume that on a recent day, the September 2019 S&P Index futures contract (i.e., the S&P...

Assume that on a recent day, the September 2019 S&P Index futures contract (i.e., the S&P contract which expires in September) closed at 2890, up 7 points on the day. The value of the contract is set at 250 × the index. When you bought the contract, you had to put up initial margin of $35,000. The maintenance margin is $31,000. At what contract price will you get a margin call? Explain.

Explain in your own words the reason why a Eurodollar futures contract needs to be tailed...

Explain in your own words the reason why a Eurodollar futures contract needs to be tailed in order to hedge the rate paid on a loan that is taken out at a future date. State the term (or name) for the difference between the FRA (forward rate agreement) rate and Eurodollar rate. If there were no difference between the Eurodollar rate and the FRA rate, state who is systematically favoured in a Eurodollar futures contract: the borrower or the lender.

Consider a three month futures contract on the S&P 500 index. The value of the index...

Consider a three month futures contract on the S&P 500 index. The value of the index is 1000; the dividend yield is 1% and the three month interest rate is 4% continuously compounded. (a) Explain how to compute the futures price making sure to define all terms and assumptions. In particular carefully explain why the formula holds. Then compute the fair futures price. (b) Suppose the actual futures price is 1010.0. In great detail describe a strategy that creates guaranteed...

An asset is selling for $250. A Futures contract with the asset as underlying, expires in...

An asset is selling for $250. A Futures contract with the asset as underlying, expires in 8 months (assume 365 day year). Interest rates are 5% per annum and the future value of cost of carry has been calculated to be $5.35 and is net any convenience yield earned over the time period. (A) Calculate the arbitrage free futures price. (B) A month has passed; the contract expires in 7 months. The asset sells for $239, and net cost of...

Why is the value of a futures or forward contract at the time it is purchased...

Why is the value of a futures or forward contract at the time it is purchased equal to zero? Contrast this with the value of the corresponding spot commodity.

On September 12, a stock index futures contract was $432.7. The December 400 call was at...

On September 12, a stock index futures contract was $432.7. The December 400 call was at 26.25 and the put was at 3.25. The index was at 420.55. The futures and options expire on December 21. The discrete risk-free rate was 2.75%. Determine whether the futures and options are priced correctly in relation to each other. If they are not, construct a risk-free portfolio and show how it will earn a rate better than the risk-free rate.

Calculate the price of a 45-day futures contract, if you know that 45-day call options on...

Calculate the price of a 45-day futures contract, if you know that 45-day call options on the underlying with strike of $268 trade for c=$19.8 and put options with the same maturity and exercise price trade for $16.5. The risk free rate is 1.5%.

What are the differences in speculating by buying vs. selling options on a stock index futures...

What are the differences in speculating by buying vs. selling options on a stock index futures such as the Nikkei 225? What is the difference between writing a straddle and a strangle? Are such trades speculative in nature?

Subjects