hullofod9esolutionsch02第九版期權(quán)期貨及其他衍生品課后答案

1、CHAPTER 2 Mechanics of Futures Markets Practice Questions Problem 2.1. Distinguish between the terms open interest and trading volume. The open interest of a futures contract at a particular time is the total number of

2、long positions outstanding. (Equivalently, it is the total number of short positions outstanding.) The trading volume during a certain period of time is the number of contracts traded during this period. Problem 2.2. Wh

3、at is the difference between a local and a futures commission merchant? A futures commission merchant trades on behalf of a client and charges a commission. A local trades on his or her own behalf. Problem 2.3. Suppose

4、 that you enter into a short futures contract to sell July silver for $17.20 per ounce. The size of the contract is 5,000 ounces. The initial margin is $4,000, and the maintenance margin is $3,000. What change in the fut

5、ures price will lead to a margin call? What happens if you do not meet the margin call? There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases b

6、y 1,000/5,000 ? $0.20. The price of silver must therefore rise to $17.40 per ounce for there to be a margin call. If the margin call is not met, your broker closes out your position. Problem 2.4. Suppose that in Septem

7、ber 2015 a company takes a long position in a contract on May 2016 crude oil futures. It closes out its position in March 2016. The futures price (per barrel) is $88.30 when it enters into the contract, $90.50 when it cl

8、oses out its position, and $89.10 at the end of December 2015. One contract is for the delivery of 1,000 barrels. What is the company’s total profit? When is it realized? How is it taxed if it is (a) a hedger and (b) a s

9、peculator? Assume that the company has a December 31 year-end. The total profit is ($90.50 ? $88.30) ? 1,000 ? $2,200. Of this ($89.10 ? $88.30) ? 1,000 or $800 is realized on a day-by-day basis between September 2015

10、and December 31, 2015. A further ($90.50 ? $89.10) ? 1,000 or $1,400 is realized on a day-by-day basis between January Problem 2.9. What are the most important aspects of the design of a new futures contract? The most

11、 important aspects of the design of a new futures contract are the specification of the underlying asset, the size of the contract, the delivery arrangements, and the delivery months. Problem 2.10. Explain how margin ac

12、counts protect investors against the possibility of default. A margin is a sum of money deposited by an investor with his or her broker. It acts as a guarantee that the investor can cover any losses on the futures contr

13、act. The balance in the margin account is adjusted daily to reflect gains and losses on the futures contract. If losses are above a certain level, the investor is required to deposit a further margin. This system makes i

14、t unlikely that the investor will default. A similar system of margin accounts makes it unlikely that the investor’s broker will default on the contract it has with the clearing house member and unlikely that the clearin

15、g house member will default with the clearing house. Problem 2.11. A trader buys two July futures contracts on frozen orange juice. Each contract is for the delivery of 15,000 pounds. The current futures price is 160 ce

16、nts per pound, the initial margin is $6,000 per contract, and the maintenance margin is $4,500 per contract. What price change would lead to a margin call? Under what circumstances could $2,000 be withdrawn from the marg

17、in account? There is a margin call if more than $1,500 is lost on one contract. This happens if the futures price of frozen orange juice falls by more than 10 cents to below 150 cents per pound. $2,000 can be withdrawn

18、from the margin account if there is a gain on one contract of $1,000. This will happen if the futures price rises by 6.67 cents to 166.67 cents per pound. Problem 2.12. Show that, if the futures price of a commodity is

19、greater than the spot price during the delivery period, then there is an arbitrage opportunity. Does an arbitrage opportunity exist if the futures price is less than the spot price? Explain your answer. If the futures p

20、rice is greater than the spot price during the delivery period, an arbitrageur buys the asset, shorts a futures contract, and makes delivery for an immediate profit. If the futures price is less than the spot price durin

21、g the delivery period, there is no similar perfect arbitrage strategy. An arbitrageur can take a long futures position but cannot force immediate delivery of the asset. The decision on when delivery will be made is made