Q1. Refer to Table 10-4 form textbook. What was the settlement price on the Dece
ID: 2731736 • Letter: Q
Question
Q1. Refer to Table 10-4 form textbook.
What was the settlement price on the December 2011 Eurodollar futures contract on September 1, 2010?
a How many 5-year Treasury not futures contract traded on August 31, 2010
b What is the face value on a Swiss franc currency futures contract on September 1, 2102?
c What was the settlement price on the September 2010 DJIA futures contract on August 31, 2010
give explanation to each answer.
Interest Rate Futures British Pound (CME)62,500; $ perS LIFETIME Wednesday, September 01, 2010 KEY TO EXCHANGES: CBT: Chicago Board of Trade: CME: Chicago Mercantile Exchange; CMX: Comex Sep 10 1.5346 549 15334 1.5443 +0112 16550 DME: Dubai Mercantile Exchange; ENXT: Euronext liffe: EURE: EUREX: ICE-EU: ICE Futures Europe; Dec 10 5340 15481 5326 15434 +01 L6500 ICE-US: ICE Futures U.S.; KC: Kansas City Board of Trade; ME: Montreal Exchange: MPLS:Minneapolis5307 5446 1.5307 15426 +0112 5955 Grain Exchange; NYM: New York Mercantile Exchange, or Nymex SGX-DT: Singapore Exchange Derivatives Trading Ltd. Treasury Bonds (CBT)-$100,000, pts 32nds of 100% Open High Low Settle Chg High Low Open Int 1.4230 141,012 1.4246 3,038 145 1.4450 Est vol 122,784; vol Tue 122,258, open int, 144,196, +3,452. Swiss Franc (CME)-CHF 125,000; $ per CHF LIFETIME LIFETIME Open High Low Settle Chg High 9937 0009 Low Open Int 8555 59,336 .8596 1,307 Open High Low Settle Chg High Dec 10 135-040 135-040 132-100 133-060-1-27.0 135-190 Mar 11 132-140 132-140 131-190 132-0201-27.0 134-050 Est vol 494,930; vol Tue 519,130; open Int, 780,66,-55,323. Treasury Notes (CBT)-$100,000, pts 32nds of 100% Low Open Int 112-010 687,802 32 Sep 10 9857 9937 9821 9841 Dec 10 985 .9945.9832 9850 Est vol 49,521; vol Tue 42,725; open int, 60,655, +1,756. 122-240 Australian Dollar (CME)-AUD 100,000; $ per AUD LIFETIME LIFETIME Open High Low Settle Chg High Low Open Int 7900 98,993 7901 3,282 Open High Low Settle Chg High Dec 10 125-200 125-200 124-125 124-255 -26.5 126-025 Mar 11 124-145 124-185 124-000 124-045 -26.5 125-075 Est vol 1,684 232; vol Tue 1,710,983; open int, 1951,010,-75.026, 5 Yr. Treasury Notes (CBT)-$100,000, pts 32nds of 100% Low Open Int 112-000 1,704,378 67 Sep 10 8910 9104 8900 9072 +0204 9230 Dec 10 8820 9002.8805 8974 +.020 .9083 Est vol 110,403; vol Tue 106,264; open int, 102,439,-081 112-170 Index Futures DJ Industrial Average (CBT)-$10 x index LIFETIME Low Open Int D 112-285 189,249 Open High Low Settle Chg High LIFETIME Sep 10 121-027 121-027 121-150 120-232 -11.0 121-070 Dec 10 120-107 120-107 119-222 119-305 -11.7 120-162 Est vol 585, 754; vol Tue 680,449, open int, 1,029,315,-42,277 2 Yr. Treasury Notes (CBT)-$200,000, pts 32nds of 100% Open High Low Settle Chg High Low Open Int 9510 10,170 9584 112-245 840,066 Sep 10 10043 10280 10022 10272 +266 11040 Dec 10 10000 10195 9980 10205 +26610775 50 Est vol 389, vol Tue 332; open int, 10,220, +29. Idx prl: Hi 10279.8, Lo 10016.01; Close 10269.47, +254.75 LIFETIME Open High Low Settle Chg High Low Open Int Mini DJ Industrial Average (CBT)-$5 x index 107-160 94,165 107-010 625,838 Sep 10 109-230 109-232 109-192 109-217 1.2 109-242 LIFETIME Dec 10 109-187 109-187 109-147 109-170 2 109-205 Est vol 276,992; vol Tue 312,795; open int, 720,003, +1,560. Eurodollar (CME)-$ 1,000,000: pts of 100% Sep 10 10270 10272 10267 10272 Dec 10 202 10203 0198 10205 Vol Wed 155,518, open int, 86,239,-2,422 Open High Low Settle Chg High 11144 Low Open Int 9506 85,654 9452 563 LIFETIMEExplanation / Answer
(A)- A settlement price, in derivatives markets, is the price used for determining profit or loss for the day, as well as margin requirements. The settlement price is the average price at which a contract trades, calculated at both the open and close of each trading day.
The settlement price is 99.155% of the face value of the contract ($1million).
(B)- A total of 680499 5-year Treasury not futures contract traded on August 31, 2010.
(C)- The face value on a Swiss franc currency futures contract was 125000 Swiss franc on September 1, 2102.
(D)- The settlement price on the September 2010 DJIA futures contract was (10272-266) =10006 on August 31, 2010.
Related Questions
Navigate
Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.