Note: This assignment is an individual assignment. Please submit your work in the “Assignments” page on Canvas.
Assume on Thursday, 9/5/2019, you sell one S&P 500 December 2019 futures contract at the price of $2,975. The initial margin is $35,000. You maintain your position every day through Thursday, 10/3/2019, and then close out the contract at the settlement price on Thursday, 10/3/2019. In Sheet1 of the Excel file, I provide you price information from 9/5 to 10/3. Please follow Table 2.1.
- Construct the daily margin accounts for your position.
- Note: The maintenance margin is $31,500.
- Please follow Table 2.1. Construct the daily margin accounts for your counterparty’s position.
- Record the daily closing value of the underlying index, over the period from 9/5 to 10/3 on a spreadsheet (website: finance.yahoo.com). ALSO, from Federal Reserve Bank’s website, record daily closing yields for the 3-month Treasury bills over the SAME time period on the same spreadsheet.
- Use the data you collected and the right formula to compute the theoretical prices of the December 2019 futures every day from 9/5 to 10/3.
- Please google the dividend yield for S&P 500 index.
- You can assume the maturity date of the December futures contract is 12/31/2019.
- Analyze and Discuss, in a maximum of 1 double-spaced page,
- the futures’ prices behaviors over time (You can draw the charts to help your analysis); and
- the validity of the formula with the collected data.