Exhibit 20.1 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

Multiple Choice

Exhibit 20.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
December futures on the S&P 500 stock index trade at 250 times the index value of 1187.70. Your broker requires an initial margin of 10% percent on futures contracts. The current value of the S&P 500 stock index is 1178.
-Refer to Exhibit 20.1. Suppose at expiration the futures contract price is 250 times the index value of 1170. Disregarding transaction costs, what is your percentage return?

A) 1.87%
B) -0.68%
C) -14.90%
D) 10.36%
E) None of the above