Nine-month gold futures are trading for $306 per ounce. The spot price is $295 per ounce. LIBOR during each of the upcoming 4 quarters is listed as 1.04%, 1.22%, 1.30%, and 1.35%, respectively. Calculate the 9-month lease rate on the futures contract.
(a) 2.4%
(b) 2.1%
(c) 1.3%
(d) 0.0%
Answer: d
Fin 402
- The spot price of the market index is $900. After 3 months the market index is priced at $920. The annual rate of interest on treasuries is 4.8% (0.4% per month). The premium on the long put, with an exercise price of $930, is $8.00. What is the profit or loss at expiration for the long put?
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- Which of the following terms most accurately describes the forward curve for soybeans over the next two years?
- If hog farmers expect a return of 8.0% on their investment in livestock, what is the approximate implied increase in pork belly commodity prices over the next 6 months?