Futures Contracts | WSJ.com/commodities Metal & Petroleum Futures Contract Open High hi lo low Copper-High (CMX)-25,000 lbs.; $ per lb. Contract Open Open High hi lo low Settle Chg interest Open Coffee (ICE-US)-37,500 lbs.; cents per lb. Settle Chg interest Dec 194.00 205.55 192.95 204.05 10.05 129,6% March 22 196.95 208.35 195.80 206.90 10.10 70,796 Sugar-World (ICE-US)-112,000 lbs.; cents per lb. Oct 4.1500 4.2030 4.1500 Dec 4.1065 4.2030 4.0585 4.1885 40.1935 0.1035 0.0995 2,734 109,717 March 20.31 20.35 20.02 20.06 -.28 420,744 May 19.72 19.75 19.48 19.53 .23 156,809 Oct Gold (CMX)-100 troy oz.; $ per troy oz. 1754.30 1762.60 1748.50 Sugar-Domestic (ICE-US)-112,000 lbs.; cents per lb. 1757.00 1.70 Nov 1755.90 1764.30 1750.00 1757.70 1.40 4,163 1,093 Nov 37.00 37.01 37.00 37.00 -.05 1,265 March'22 36.00 36.01 36.00 36.00 -.10 2,819 Dec 1757.20 1765.20 1749.90 1758.40 1.40 407,321 Feb 22 1759.10 1766.40 1751.60 1760.10 1.60 46,135 Cotton (ICE-US)-50,000 lbs.; cents per lb. Oct Oct Dec April 1758.60 1766.40 June 1760.60 1767.60 1755.00 1762.90 Palladium (NYM)-50 troy oz.; $ per troy oz. 1883.00 1922.50 1846.50 1903.70 Platinum (NYM)-50 troy oz.; $ per troy oz. Oct 957.70 976.00 957.70 972.10 Jan 22 962.00 978.00 954.90 973.60 Silver (CMX)-5,000 troy oz.; $ per troy oz. Oct Dec 22.185 22.600 21.990 22.536 1753.30 1761.50 1.80 13,720 106.53 106.53 106.53 106.53 -1.27 48 Dec 2.00 8,805 1906.50 3.90 3.90 9,087 105.80 107.28 104.35 104.53 Orange Juice (ICE-US)-15,000 lbs.; cents per lb. Nov 132.25 134.00 131.65 133.65 Jan 22 135.40 136.85 134.60 136.60 1.20 -1.27 142,833 1.15 8,742 2,160 Interest Rate Futures 11.20 11.20 1,148 59,210 22.510 0.489 120 0.489 122,752 March'22 Treasury Bonds (CBT)-$100,000; pts 32nds of 100% Ultra Treasury Bonds (CBT)-$100,000; pts 32nds of 100% Dec 192-200 193-050 191-190 193-000 1-30.0 1,223,674 192-030 1-30.0 6 Crude Oil, Light Sweet (NYM)-1,000 bbls.; $ per bbl. Νον 75.12 75.99 74.23 75.88 Dec 74.74 75.68 73.92 75.58 Jan'22 74.26 75.22 73.43 75.12 March 73.13 74.09 72.28 73.98 0.99 0.85 433,297 0.88 347,081 0.93 153,467 120,759 June 71.20 72.34 70.50 72.23 1.08 Dec 67.76 68.91▲ 67.19 68.81 1.11 163,257 192,006 Nov Dec NY Harbor ULSD (NYM)-42,000 gal.; $ per gal. 2.3396 2.3871 ▲ 2.3222 2.3827 2.3371 2.3799 2.3157 2.3755 .0442 .0436 136,290 93,650 Dec 159-310 160-140 159-180 160-110 1-04.0 1,237,921 March 22158-140 158-270 158-030 158-260 1-04.0 Treasury Notes (CBT)-$100,000; pts 32nds of 100% Dec 131-285 132-060 131-240 132-055 March'22 131-120 5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100% Dec 122-277 123-022 122-257 123-020 10.2 3,627,810 2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100% Dec 110-017 110-027 110-013 110-027 21 18.0 4,049,390 18.0 244 Nov Dec Gasoline-NY RBOB (NYM)-42,000 gal.; $ per gal. 2.1909 2.2554 2.1783 2.2500 2.1540 2.21312.1409 2.2083 .0560 .0522 143,977 73,267 Nov Natural Gas (NYM)-10,000 MMBtu.; $ per MMBtu. 5.975 6.010 5.533 Dec 6.070 6.141 5.680 Jan'22 6.178 6.222 5.770 March 5.633 5.656 5.288 April 4.038 4.059 3.921 May 3.842 3.881 3.765 5.619 -.248 5.763 -.228 5.853 -.220 5.367 -.150 3.940 -.056 3.787 -.037 261,124 104,287 164,588 126,051 19 1,828,366 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. Oct 99.9250 99.9250 99.9200 99.9200 -.0025 118,849 Nov 99.9250 99.9250 99.9200 99.9200 -.0050 113,448 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100% Dec ... 101-300 19.0 161,007 Eurodollar (CME)-$1,000,000; pts of 100% 125,609 Oct 99.8725 99.8750 99.8675 99.8675 -.0050 397,234 Dec 99.8350 99.8350 99.8250 99.8250 -.0050 1,156,185 March 22 99.8550 99.8600 99.8500 99.8550 1,115,733 Dec 23 98.8750 98.9250 98.8600 98.9100 -.0550 1,141,876 120,895 Agriculture Futures Corn (CBT)-5,000 bu.; cents per bu. Currency Futures .8976 .9017 .8991 .9022 Japanese Yen (CME)-¥12,500,000; $ per 100\ Canadian Dollar (CME)-CAD 100,000; $ per CAD .8971 .8974 Dec 536.75 545.25 532.00 March 22 544.00 552.75 540.00 541.50 4.75 549.75 5.75 691,389 270,622 Oct Dec .9007 .0028 252 .9010 .0029 231,867 Oats (CBT)-5,000 bu.; cents per bu. Dec 580.25 595.00 ▲ 570.25 March 22 571.25 586.25 ▲ 562.00 581.25 Soybeans (CBT)-5,000 bu.; cents per bu. 591.00 8.75 3,651 Oct Dec .7867 .7919 .7851 .7914 .0014 510 .7885 .7919 .7849 .7913 .0014 117,944 8.75 737 British Pound (CME)-£62,500; $ per £ Nov 1255.00 1262.25 1242.00 1246.50 Jan 22 1264.50 1272.00 1252.00 1256.50 Soybean Meal (CBT)-100 tons.; $ per ton. -9.50 -9.00 324,251 122,212 Oct Dec 1.3445 1.3575 1.3435 1.3471 1.3576 1.3434 1.3554 1.3554 .0079 1,135 .0079 184,105 Swiss Franc (CME)-CHF 125,000; $ per CHF Dec Oct 325.00 -1.20 Dec 328.70 331.80 326.50 326.90 Soybean Oil (CBT)-60,000 lbs.; cents per lb. -1.80 2,023 177,126 1.0752 1.0792 1.0728 1.0769 .0027 March 22 1.0800 1.0818 1.0756 1.0796 Australian Dollar (CME)-AUD 100,000; $ per AUD 58,791 .0027 98 Oct .7230 .7277 .7193 .7267 .0034 Oct Dec 58.67 59.21 58.61 57.71 58.82 -.18 537 Dec .7229 .7279 .7194 .7268 .0034 661 189,090 .13 154,787 Mexican Peso (CME)-MXN 500,000; $per MXN Rough Rice (CBT)-2,000 cwt.; $ per cwt. Nov 13.69 13.77 13.56 Jan'22 13.93 13.99 Wheat (CBT)-5,000 bu.; cents per bu. Dec 725.50 758.50 722.75 March 22 736.25 769.00 733.75 Wheat (KC)-5,000 bu.; cents per bu. Oct 13.81 13.62 -.10 13.87 -.10 7,992 677 755.25 29.75 766.00 29.50 188,968 77,196 Dec Euro (CME)-€125,000; $ per € Oct 1.1585 1.1610 ▼ 1.1567 Dec 1.1597 1.1623 ▼ 1.1578 .04880 .04884 .04818 .04885 .00047 .04793 .04848 .04775 .04845 .00046 19 177,625 1.1601 .0013 1.1613 .0013 1,185 669,204 Index Futures Dec 730.50 761.75 728.00 759.50 27.75 March 22 738.75 768.75 735.75 766.50 27.25 Wheat (KC)-5,000 bu.; cents per bu. Dec 730.50 761.75 728.00 759.50 27.75 March 22 738.75 768.75 735.75 766.50 27.75 Cattle-Feeder (CME)-50,000 lbs.; cents per lb. Oct 153.025 153.925 152.750 152.750 Nov 153.600 154.325 152.650 143.900 Cattle-Live (CME)-40,000 lbs.; cents per lb. 127,485 55,203 127,485 55,203 .200 5,188 16,933 Mini DJ Industrial Average (CBT)-$5 x index Dec 33752 34354 33383 34167 March 222 33681 34250 33300 34070 Mini S&P 500 Index (CME)-$50 x index Dec 4301.00 4365.75 4260.00 4343.75 June 22 4287.75 4347.00 4244.00 4326.00 Mini S&P Midcap 400 (CME)-$100 x index Dec 2632.80 2694.80 2603.60 2675.10 March'22 445 443 97,554 353 46.00 2,391,044 45.25 46,503 41.90 41,706 2682.00 2614.70 2684.10 41.90 n.a. Oct 121.000 121.650 120.250 120.400 Nov 126.200 126.700 125.000 125.200 Hogs-Lean (CME)-40,000 lbs.; cents per lb. -.175 -.525 20,296 128,877 Mini Nasdaq 100 (CME)-$20 x index Oct Dec 91.950 92.650 91.875 92.300 85.525 85.650 84.700 85.175 .700 -.225 23,314 106,278 Dec 14702.25 14818.00 14537.00 14761.75 March 2214710.00 14818.00 14540.75 14763.50 Mini Russell 2000 (CME)-$50 x index 79.25 224,978 78.25 998 Lumber (CME)-110,000 bd.ft; $ per 1,000 bd. ft. Nov 18.12 18.23 17.96 637.10 644.50 607.90 625.10 -2.40 Jan 22 662.70 690.00 636.70 673.00 21.30 Milk (CME)-200,000 lbs.; cents per lb. Oct 1,285 Dec 2201.00 2248.80 2171.30 2235.60 March 22 2202.40 2245.30 2169.60 2233.00 Mini Russell 1000 (CME)-$50 x index 34.80 434,632 34.50 187 426 Dec 2414.80 2450.60 2402.10 2439.20 U.S. Dollar Index (ICE-US)-$1,000 x index 24.90 13,512 Nov 18.28 18.29 17.91 18.13 .02 18.20 -.06 4,526 5,314 Dec March'22 94.26 94.32 94.41 94.27 94.00 94.05 -.19 54,889 93.95 93.99 -.19 1,580 Cocoa (ICE-US)-10 metric tons; $ per ton. Dec 2,641 2,723 ▲ 2,633 March'22 2,664 2,747 ▲ 2,659 2,710 58 89,995 2,734 57 60,472 Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. Required: a. If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the December maturity contract? b. If the December futures price increases to $4,400, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? c. If the December futures price falls by 1%, what is your percentage return? Complete this question by entering your answers in the tabs below. Required A Required B Required C If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the December maturity contract? Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Required margin deposit
Futures Contracts | WSJ.com/commodities Metal & Petroleum Futures Contract Open High hi lo low Copper-High (CMX)-25,000 lbs.; $ per lb. Contract Open Open High hi lo low Settle Chg interest Open Coffee (ICE-US)-37,500 lbs.; cents per lb. Settle Chg interest Dec 194.00 205.55 192.95 204.05 10.05 129,6% March 22 196.95 208.35 195.80 206.90 10.10 70,796 Sugar-World (ICE-US)-112,000 lbs.; cents per lb. Oct 4.1500 4.2030 4.1500 Dec 4.1065 4.2030 4.0585 4.1885 40.1935 0.1035 0.0995 2,734 109,717 March 20.31 20.35 20.02 20.06 -.28 420,744 May 19.72 19.75 19.48 19.53 .23 156,809 Oct Gold (CMX)-100 troy oz.; $ per troy oz. 1754.30 1762.60 1748.50 Sugar-Domestic (ICE-US)-112,000 lbs.; cents per lb. 1757.00 1.70 Nov 1755.90 1764.30 1750.00 1757.70 1.40 4,163 1,093 Nov 37.00 37.01 37.00 37.00 -.05 1,265 March'22 36.00 36.01 36.00 36.00 -.10 2,819 Dec 1757.20 1765.20 1749.90 1758.40 1.40 407,321 Feb 22 1759.10 1766.40 1751.60 1760.10 1.60 46,135 Cotton (ICE-US)-50,000 lbs.; cents per lb. Oct Oct Dec April 1758.60 1766.40 June 1760.60 1767.60 1755.00 1762.90 Palladium (NYM)-50 troy oz.; $ per troy oz. 1883.00 1922.50 1846.50 1903.70 Platinum (NYM)-50 troy oz.; $ per troy oz. Oct 957.70 976.00 957.70 972.10 Jan 22 962.00 978.00 954.90 973.60 Silver (CMX)-5,000 troy oz.; $ per troy oz. Oct Dec 22.185 22.600 21.990 22.536 1753.30 1761.50 1.80 13,720 106.53 106.53 106.53 106.53 -1.27 48 Dec 2.00 8,805 1906.50 3.90 3.90 9,087 105.80 107.28 104.35 104.53 Orange Juice (ICE-US)-15,000 lbs.; cents per lb. Nov 132.25 134.00 131.65 133.65 Jan 22 135.40 136.85 134.60 136.60 1.20 -1.27 142,833 1.15 8,742 2,160 Interest Rate Futures 11.20 11.20 1,148 59,210 22.510 0.489 120 0.489 122,752 March'22 Treasury Bonds (CBT)-$100,000; pts 32nds of 100% Ultra Treasury Bonds (CBT)-$100,000; pts 32nds of 100% Dec 192-200 193-050 191-190 193-000 1-30.0 1,223,674 192-030 1-30.0 6 Crude Oil, Light Sweet (NYM)-1,000 bbls.; $ per bbl. Νον 75.12 75.99 74.23 75.88 Dec 74.74 75.68 73.92 75.58 Jan'22 74.26 75.22 73.43 75.12 March 73.13 74.09 72.28 73.98 0.99 0.85 433,297 0.88 347,081 0.93 153,467 120,759 June 71.20 72.34 70.50 72.23 1.08 Dec 67.76 68.91▲ 67.19 68.81 1.11 163,257 192,006 Nov Dec NY Harbor ULSD (NYM)-42,000 gal.; $ per gal. 2.3396 2.3871 ▲ 2.3222 2.3827 2.3371 2.3799 2.3157 2.3755 .0442 .0436 136,290 93,650 Dec 159-310 160-140 159-180 160-110 1-04.0 1,237,921 March 22158-140 158-270 158-030 158-260 1-04.0 Treasury Notes (CBT)-$100,000; pts 32nds of 100% Dec 131-285 132-060 131-240 132-055 March'22 131-120 5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100% Dec 122-277 123-022 122-257 123-020 10.2 3,627,810 2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100% Dec 110-017 110-027 110-013 110-027 21 18.0 4,049,390 18.0 244 Nov Dec Gasoline-NY RBOB (NYM)-42,000 gal.; $ per gal. 2.1909 2.2554 2.1783 2.2500 2.1540 2.21312.1409 2.2083 .0560 .0522 143,977 73,267 Nov Natural Gas (NYM)-10,000 MMBtu.; $ per MMBtu. 5.975 6.010 5.533 Dec 6.070 6.141 5.680 Jan'22 6.178 6.222 5.770 March 5.633 5.656 5.288 April 4.038 4.059 3.921 May 3.842 3.881 3.765 5.619 -.248 5.763 -.228 5.853 -.220 5.367 -.150 3.940 -.056 3.787 -.037 261,124 104,287 164,588 126,051 19 1,828,366 30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg. Oct 99.9250 99.9250 99.9200 99.9200 -.0025 118,849 Nov 99.9250 99.9250 99.9200 99.9200 -.0050 113,448 10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100% Dec ... 101-300 19.0 161,007 Eurodollar (CME)-$1,000,000; pts of 100% 125,609 Oct 99.8725 99.8750 99.8675 99.8675 -.0050 397,234 Dec 99.8350 99.8350 99.8250 99.8250 -.0050 1,156,185 March 22 99.8550 99.8600 99.8500 99.8550 1,115,733 Dec 23 98.8750 98.9250 98.8600 98.9100 -.0550 1,141,876 120,895 Agriculture Futures Corn (CBT)-5,000 bu.; cents per bu. Currency Futures .8976 .9017 .8991 .9022 Japanese Yen (CME)-¥12,500,000; $ per 100\ Canadian Dollar (CME)-CAD 100,000; $ per CAD .8971 .8974 Dec 536.75 545.25 532.00 March 22 544.00 552.75 540.00 541.50 4.75 549.75 5.75 691,389 270,622 Oct Dec .9007 .0028 252 .9010 .0029 231,867 Oats (CBT)-5,000 bu.; cents per bu. Dec 580.25 595.00 ▲ 570.25 March 22 571.25 586.25 ▲ 562.00 581.25 Soybeans (CBT)-5,000 bu.; cents per bu. 591.00 8.75 3,651 Oct Dec .7867 .7919 .7851 .7914 .0014 510 .7885 .7919 .7849 .7913 .0014 117,944 8.75 737 British Pound (CME)-£62,500; $ per £ Nov 1255.00 1262.25 1242.00 1246.50 Jan 22 1264.50 1272.00 1252.00 1256.50 Soybean Meal (CBT)-100 tons.; $ per ton. -9.50 -9.00 324,251 122,212 Oct Dec 1.3445 1.3575 1.3435 1.3471 1.3576 1.3434 1.3554 1.3554 .0079 1,135 .0079 184,105 Swiss Franc (CME)-CHF 125,000; $ per CHF Dec Oct 325.00 -1.20 Dec 328.70 331.80 326.50 326.90 Soybean Oil (CBT)-60,000 lbs.; cents per lb. -1.80 2,023 177,126 1.0752 1.0792 1.0728 1.0769 .0027 March 22 1.0800 1.0818 1.0756 1.0796 Australian Dollar (CME)-AUD 100,000; $ per AUD 58,791 .0027 98 Oct .7230 .7277 .7193 .7267 .0034 Oct Dec 58.67 59.21 58.61 57.71 58.82 -.18 537 Dec .7229 .7279 .7194 .7268 .0034 661 189,090 .13 154,787 Mexican Peso (CME)-MXN 500,000; $per MXN Rough Rice (CBT)-2,000 cwt.; $ per cwt. Nov 13.69 13.77 13.56 Jan'22 13.93 13.99 Wheat (CBT)-5,000 bu.; cents per bu. Dec 725.50 758.50 722.75 March 22 736.25 769.00 733.75 Wheat (KC)-5,000 bu.; cents per bu. Oct 13.81 13.62 -.10 13.87 -.10 7,992 677 755.25 29.75 766.00 29.50 188,968 77,196 Dec Euro (CME)-€125,000; $ per € Oct 1.1585 1.1610 ▼ 1.1567 Dec 1.1597 1.1623 ▼ 1.1578 .04880 .04884 .04818 .04885 .00047 .04793 .04848 .04775 .04845 .00046 19 177,625 1.1601 .0013 1.1613 .0013 1,185 669,204 Index Futures Dec 730.50 761.75 728.00 759.50 27.75 March 22 738.75 768.75 735.75 766.50 27.25 Wheat (KC)-5,000 bu.; cents per bu. Dec 730.50 761.75 728.00 759.50 27.75 March 22 738.75 768.75 735.75 766.50 27.75 Cattle-Feeder (CME)-50,000 lbs.; cents per lb. Oct 153.025 153.925 152.750 152.750 Nov 153.600 154.325 152.650 143.900 Cattle-Live (CME)-40,000 lbs.; cents per lb. 127,485 55,203 127,485 55,203 .200 5,188 16,933 Mini DJ Industrial Average (CBT)-$5 x index Dec 33752 34354 33383 34167 March 222 33681 34250 33300 34070 Mini S&P 500 Index (CME)-$50 x index Dec 4301.00 4365.75 4260.00 4343.75 June 22 4287.75 4347.00 4244.00 4326.00 Mini S&P Midcap 400 (CME)-$100 x index Dec 2632.80 2694.80 2603.60 2675.10 March'22 445 443 97,554 353 46.00 2,391,044 45.25 46,503 41.90 41,706 2682.00 2614.70 2684.10 41.90 n.a. Oct 121.000 121.650 120.250 120.400 Nov 126.200 126.700 125.000 125.200 Hogs-Lean (CME)-40,000 lbs.; cents per lb. -.175 -.525 20,296 128,877 Mini Nasdaq 100 (CME)-$20 x index Oct Dec 91.950 92.650 91.875 92.300 85.525 85.650 84.700 85.175 .700 -.225 23,314 106,278 Dec 14702.25 14818.00 14537.00 14761.75 March 2214710.00 14818.00 14540.75 14763.50 Mini Russell 2000 (CME)-$50 x index 79.25 224,978 78.25 998 Lumber (CME)-110,000 bd.ft; $ per 1,000 bd. ft. Nov 18.12 18.23 17.96 637.10 644.50 607.90 625.10 -2.40 Jan 22 662.70 690.00 636.70 673.00 21.30 Milk (CME)-200,000 lbs.; cents per lb. Oct 1,285 Dec 2201.00 2248.80 2171.30 2235.60 March 22 2202.40 2245.30 2169.60 2233.00 Mini Russell 1000 (CME)-$50 x index 34.80 434,632 34.50 187 426 Dec 2414.80 2450.60 2402.10 2439.20 U.S. Dollar Index (ICE-US)-$1,000 x index 24.90 13,512 Nov 18.28 18.29 17.91 18.13 .02 18.20 -.06 4,526 5,314 Dec March'22 94.26 94.32 94.41 94.27 94.00 94.05 -.19 54,889 93.95 93.99 -.19 1,580 Cocoa (ICE-US)-10 metric tons; $ per ton. Dec 2,641 2,723 ▲ 2,633 March'22 2,664 2,747 ▲ 2,659 2,710 58 89,995 2,734 57 60,472 Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day. Required: a. If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the December maturity contract? b. If the December futures price increases to $4,400, what percentage return will you earn on your investment if you entered the long side of the contract at the price shown in the figure? c. If the December futures price falls by 1%, what is your percentage return? Complete this question by entering your answers in the tabs below. Required A Required B Required C If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with your broker to trade the December maturity contract? Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Required margin deposit
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Question
Transcribed Image Text:Futures Contracts | WSJ.com/commodities
Metal & Petroleum Futures
Contract
Open High hi lo low
Copper-High (CMX)-25,000 lbs.; $ per lb.
Contract
Open
Open High hi lo low Settle
Chg
interest
Open
Coffee (ICE-US)-37,500 lbs.; cents per lb.
Settle
Chg
interest
Dec
194.00 205.55
192.95 204.05
10.05
129,6%
March 22 196.95 208.35 195.80 206.90
10.10
70,796
Sugar-World (ICE-US)-112,000 lbs.; cents per lb.
Oct
4.1500 4.2030 4.1500
Dec
4.1065 4.2030 4.0585
4.1885
40.1935 0.1035
0.0995
2,734
109,717
March 20.31 20.35
20.02
20.06
-.28
420,744
May
19.72 19.75
19.48
19.53
.23
156,809
Oct
Gold (CMX)-100 troy oz.; $ per troy oz.
1754.30 1762.60 1748.50
Sugar-Domestic (ICE-US)-112,000 lbs.; cents per lb.
1757.00
1.70
Nov
1755.90 1764.30
1750.00
1757.70
1.40
4,163
1,093
Nov
37.00 37.01
37.00
37.00
-.05
1,265
March'22 36.00 36.01 36.00
36.00
-.10
2,819
Dec
1757.20 1765.20
1749.90
1758.40
1.40
407,321
Feb 22 1759.10 1766.40
1751.60
1760.10
1.60
46,135
Cotton (ICE-US)-50,000 lbs.; cents per lb.
Oct
Oct
Dec
April 1758.60 1766.40
June 1760.60 1767.60 1755.00 1762.90
Palladium (NYM)-50 troy oz.; $ per troy oz.
1883.00 1922.50 1846.50 1903.70
Platinum (NYM)-50 troy oz.; $ per troy oz.
Oct 957.70 976.00 957.70 972.10
Jan 22 962.00 978.00 954.90 973.60
Silver (CMX)-5,000 troy oz.; $ per troy oz.
Oct
Dec 22.185 22.600 21.990 22.536
1753.30
1761.50
1.80
13,720
106.53 106.53 106.53 106.53
-1.27
48
Dec
2.00
8,805
1906.50
3.90
3.90
9,087
105.80 107.28 104.35 104.53
Orange Juice (ICE-US)-15,000 lbs.; cents per lb.
Nov 132.25 134.00 131.65 133.65
Jan 22 135.40 136.85 134.60 136.60 1.20
-1.27
142,833
1.15
8,742
2,160
Interest Rate Futures
11.20
11.20
1,148
59,210
22.510 0.489
120
0.489
122,752
March'22
Treasury Bonds (CBT)-$100,000; pts 32nds of 100%
Ultra Treasury Bonds (CBT)-$100,000; pts 32nds of 100%
Dec 192-200 193-050 191-190 193-000 1-30.0 1,223,674
192-030 1-30.0
6
Crude Oil, Light Sweet (NYM)-1,000 bbls.; $ per bbl.
Νον
75.12
75.99
74.23
75.88
Dec
74.74 75.68
73.92
75.58
Jan'22 74.26 75.22
73.43
75.12
March 73.13 74.09
72.28
73.98
0.99
0.85
433,297
0.88 347,081
0.93 153,467
120,759
June
71.20
72.34
70.50
72.23
1.08
Dec
67.76
68.91▲ 67.19
68.81
1.11
163,257
192,006
Nov
Dec
NY Harbor ULSD (NYM)-42,000 gal.; $ per gal.
2.3396 2.3871 ▲ 2.3222 2.3827
2.3371 2.3799 2.3157 2.3755
.0442
.0436
136,290
93,650
Dec
159-310 160-140 159-180 160-110 1-04.0 1,237,921
March 22158-140 158-270 158-030 158-260 1-04.0
Treasury Notes (CBT)-$100,000; pts 32nds of 100%
Dec 131-285 132-060 131-240 132-055
March'22
131-120
5 Yr. Treasury Notes (CBT)-$100,000; pts 32nds of 100%
Dec 122-277 123-022 122-257 123-020 10.2 3,627,810
2 Yr. Treasury Notes (CBT)-$200,000; pts 32nds of 100%
Dec 110-017 110-027 110-013 110-027
21
18.0 4,049,390
18.0
244
Nov
Dec
Gasoline-NY RBOB (NYM)-42,000 gal.; $ per gal.
2.1909 2.2554 2.1783 2.2500
2.1540 2.21312.1409 2.2083
.0560
.0522
143,977
73,267
Nov
Natural Gas (NYM)-10,000 MMBtu.; $ per MMBtu.
5.975 6.010
5.533
Dec
6.070 6.141
5.680
Jan'22 6.178 6.222
5.770
March 5.633 5.656
5.288
April
4.038 4.059
3.921
May
3.842 3.881
3.765
5.619
-.248
5.763 -.228
5.853 -.220
5.367 -.150
3.940 -.056
3.787 -.037
261,124
104,287
164,588
126,051
19 1,828,366
30 Day Federal Funds (CBT)-$5,000,000; 100-daily avg.
Oct 99.9250 99.9250 99.9200 99.9200 -.0025 118,849
Nov 99.9250 99.9250 99.9200 99.9200 -.0050 113,448
10 Yr. Del. Int. Rate Swaps (CBT)-$100,000; pts 32nds of 100%
Dec
... 101-300 19.0 161,007
Eurodollar (CME)-$1,000,000; pts of 100%
125,609
Oct 99.8725 99.8750 99.8675 99.8675 -.0050 397,234
Dec 99.8350 99.8350 99.8250 99.8250 -.0050 1,156,185
March 22 99.8550 99.8600 99.8500 99.8550
1,115,733
Dec 23 98.8750 98.9250 98.8600 98.9100 -.0550 1,141,876
120,895
Agriculture Futures
Corn (CBT)-5,000 bu.; cents per bu.
Currency Futures
.8976 .9017
.8991 .9022
Japanese Yen (CME)-¥12,500,000; $ per 100\
Canadian Dollar (CME)-CAD 100,000; $ per CAD
.8971
.8974
Dec 536.75 545.25 532.00
March 22 544.00 552.75 540.00
541.50 4.75
549.75
5.75
691,389
270,622
Oct
Dec
.9007 .0028
252
.9010
.0029
231,867
Oats (CBT)-5,000 bu.; cents per bu.
Dec 580.25 595.00 ▲ 570.25
March 22 571.25 586.25 ▲ 562.00 581.25
Soybeans (CBT)-5,000 bu.; cents per bu.
591.00
8.75
3,651
Oct
Dec
.7867 .7919 .7851
.7914
.0014
510
.7885 .7919
.7849
.7913
.0014
117,944
8.75
737
British Pound (CME)-£62,500; $ per £
Nov 1255.00 1262.25 1242.00 1246.50
Jan 22 1264.50 1272.00 1252.00 1256.50
Soybean Meal (CBT)-100 tons.; $ per ton.
-9.50
-9.00
324,251
122,212
Oct
Dec
1.3445 1.3575 1.3435
1.3471 1.3576 1.3434 1.3554
1.3554
.0079
1,135
.0079
184,105
Swiss Franc (CME)-CHF 125,000; $ per CHF
Dec
Oct
325.00 -1.20
Dec 328.70 331.80 326.50 326.90
Soybean Oil (CBT)-60,000 lbs.; cents per lb.
-1.80
2,023
177,126
1.0752 1.0792 1.0728 1.0769 .0027
March 22 1.0800 1.0818 1.0756 1.0796
Australian Dollar (CME)-AUD 100,000; $ per AUD
58,791
.0027
98
Oct
.7230 .7277
.7193
.7267
.0034
Oct
Dec
58.67 59.21
58.61
57.71 58.82
-.18
537
Dec
.7229
.7279
.7194
.7268
.0034
661
189,090
.13 154,787
Mexican Peso (CME)-MXN 500,000; $per MXN
Rough Rice (CBT)-2,000 cwt.; $ per cwt.
Nov
13.69 13.77 13.56
Jan'22 13.93 13.99
Wheat (CBT)-5,000 bu.; cents per bu.
Dec 725.50 758.50 722.75
March 22 736.25 769.00 733.75
Wheat (KC)-5,000 bu.; cents per bu.
Oct
13.81
13.62 -.10
13.87 -.10
7,992
677
755.25 29.75
766.00 29.50
188,968
77,196
Dec
Euro (CME)-€125,000; $ per €
Oct 1.1585 1.1610 ▼ 1.1567
Dec
1.1597 1.1623 ▼ 1.1578
.04880 .04884 .04818 .04885 .00047
.04793 .04848 .04775 .04845 .00046
19
177,625
1.1601 .0013
1.1613 .0013
1,185
669,204
Index Futures
Dec 730.50 761.75 728.00 759.50 27.75
March 22 738.75 768.75 735.75 766.50 27.25
Wheat (KC)-5,000 bu.; cents per bu.
Dec 730.50 761.75 728.00 759.50 27.75
March 22 738.75 768.75 735.75 766.50 27.75
Cattle-Feeder (CME)-50,000 lbs.; cents per lb.
Oct 153.025 153.925 152.750 152.750
Nov 153.600 154.325 152.650 143.900
Cattle-Live (CME)-40,000 lbs.; cents per lb.
127,485
55,203
127,485
55,203
.200
5,188
16,933
Mini DJ Industrial Average (CBT)-$5 x index
Dec 33752 34354 33383 34167
March 222 33681 34250 33300 34070
Mini S&P 500 Index (CME)-$50 x index
Dec 4301.00 4365.75 4260.00 4343.75
June 22 4287.75 4347.00 4244.00 4326.00
Mini S&P Midcap 400 (CME)-$100 x index
Dec 2632.80 2694.80 2603.60 2675.10
March'22
445
443
97,554
353
46.00 2,391,044
45.25
46,503
41.90
41,706
2682.00 2614.70 2684.10
41.90
n.a.
Oct 121.000 121.650 120.250 120.400
Nov 126.200 126.700 125.000 125.200
Hogs-Lean (CME)-40,000 lbs.; cents per lb.
-.175
-.525
20,296
128,877
Mini Nasdaq 100 (CME)-$20 x index
Oct
Dec
91.950 92.650 91.875 92.300
85.525 85.650 84.700 85.175
.700
-.225
23,314
106,278
Dec 14702.25 14818.00 14537.00 14761.75
March 2214710.00 14818.00 14540.75 14763.50
Mini Russell 2000 (CME)-$50 x index
79.25
224,978
78.25
998
Lumber (CME)-110,000 bd.ft; $ per 1,000 bd. ft.
Nov
18.12 18.23 17.96
637.10 644.50 607.90 625.10 -2.40
Jan 22 662.70 690.00 636.70 673.00 21.30
Milk (CME)-200,000 lbs.; cents per lb.
Oct
1,285
Dec 2201.00 2248.80 2171.30 2235.60
March 22 2202.40 2245.30 2169.60 2233.00
Mini Russell 1000 (CME)-$50 x index
34.80
434,632
34.50
187
426
Dec 2414.80 2450.60 2402.10 2439.20
U.S. Dollar Index (ICE-US)-$1,000 x index
24.90
13,512
Nov
18.28 18.29
17.91
18.13
.02
18.20 -.06
4,526
5,314
Dec
March'22 94.26
94.32 94.41
94.27
94.00
94.05
-.19
54,889
93.95
93.99
-.19
1,580
Cocoa (ICE-US)-10 metric tons; $ per ton.
Dec
2,641 2,723 ▲ 2,633
March'22 2,664
2,747 ▲ 2,659
2,710
58
89,995
2,734
57
60,472
Transcribed Image Text:Refer to the Mini-S&P contract in Figure 22.1. Assume the closing price for this day.
Required:
a. If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with your
broker to trade the December maturity contract?
b. If the December futures price increases to $4,400, what percentage return will you earn on your investment if you entered the long
side of the contract at the price shown in the figure?
c. If the December futures price falls by 1%, what is your percentage return?
Complete this question by entering your answers in the tabs below.
Required A Required B
Required C
If the margin requirement is 22% of the futures price times the contract multiplier of $50, how much must you deposit with
your broker to trade the December maturity contract?
Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
Required margin deposit
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