Answer the questions attached in the word document

Note: This assignment is an individual assignment. Please submit your work in the “Assignments” page on Canvas.

Assume on Thursday, 9/5/2019, you sell one S&P 500 December 2019 futures contract at the price of $2,975. The initial margin is $35,000. You maintain your position every day through Thursday, 10/3/2019, and then close out the contract at the settlement price on Thursday, 10/3/2019. In Sheet1 of the Excel file, I provide you price information from 9/5 to 10/3. Please follow Table 2.1.

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  1. Construct the daily margin accounts for your position.
    1. Note: The maintenance margin is $31,500.
  1. Please follow Table 2.1. Construct the daily margin accounts for your counterparty’s position.
  1. Record the daily closing value of the underlying index, over the period from 9/5 to 10/3 on a spreadsheet (website: ALSO, from Federal Reserve Bank’s website, record daily closing yields for the 3-month Treasury bills over the SAME time period on the same spreadsheet.
  2. Use the data you collected and the right formula to compute the theoretical prices of the December 2019 futures every day from 9/5 to 10/3.
    1. Please google the dividend yield for S&P 500 index.
    2. You can assume the maturity date of the December futures contract is 12/31/2019.
  1. Analyze and Discuss, in a maximum of 1 double-spaced page,
    1. the futures’ prices behaviors over time (You can draw the charts to help your analysis); and
    2. the validity of the formula with the collected data.


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