Questions from Business Statistics

Q: Suppose you are expecting the stock price to move substantially over the

Suppose you are expecting the stock price to move substantially over the next three months. You are considering a butterfly spread. Construct an appropriate butterfly spread using the October 160, 165...

Q: On a particular day, the S&P 500 futures settlement

On a particular day, the S&P 500 futures settlement price was 899.30. You buy one contract at the settlement price at around the close of the market. The next day the contract opens at 899.70, and the...

Q: Construct an arbitrage example involving an asset that can be sold short

Construct an arbitrage example involving an asset that can be sold short and use it to explain the cost of carry model for pricing futures.

Q: Repeat the previous problem, but close the position on September 1

Repeat the previous problem, but close the position on September 1. Use the spreadsheet to find the profits for the possible stock prices on September 1. Generate a graph and use it to approximate the...

Q: On September 26, the spot price of wheat was $3

On September 26, the spot price of wheat was $3.5225 per bushel and the price of a December wheat futures was $3.64 per bushel. The interest forgone on money tied up in a bushel until expiration is 0....

Q: On a particular day, the September S&P 500 stock

On a particular day, the September S&P 500 stock index futures was priced at 960.50. The S&P 500 index was at 956.49. The contract expires 73 days later. a. Assuming continuous compounding, suppose t...

Q: The following information was available: spot rate for Japanese yen:

The following information was available: spot rate for Japanese yen: $0.009313; 730-day forward rate for Japanese yen: $0.010475 (assume a 365-day year); U.S. risk-free rate: 7.0 percent; Japanese ris...

Q: On September 12, a stock index futures contract was at 423

On September 12, a stock index futures contract was at 423.70. 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...

Q: Use the following data from January 31 of a particular year for

Use the following data from January 31 of a particular year for a group of March 480 options on futures contracts to answer parts a through g. Futures price: 483.10 Expiration: March 13 Risk-free rate...

Q: The put–call parity rule can be expressed as C P

The put–call parity rule can be expressed as C P f 0 T X 1 r T. Consider the following data: f 0 T 102, X 100, r 0 1, T 0 25, C 4, and P 1 75. A few calculations will show that the prices do not confo...