Multiple Choice
Suppose you observe the spot S&P 500 index at 1,210 and the three month S&P 500 index futures at 1,205.Based on carry arbitrage,you conclude
A) this futures market is inefficient because the futures price is below the spot price
B) this futures market is indicating that the spot price is expected to fall
C) the spot price is too high relative to the observed futures price
D) the dividend yield is higher than the risk-free interest rate
E) none of the above
Correct Answer:
Verified
Correct Answer:
Verified
Q2: The transaction in which a Treasury bond
Q3: The implied repo rate is similar to
Q4: The implied repo rate is the return
Q5: The opportunity to exercise the quality option
Q6: The transaction designed to exploit mispricing in
Q7: A cash-and-carry arbitrage is not risk free
Q8: Find the annualized implied repo rate on
Q9: Transaction costs in program trading are so
Q10: The implied interest rate based on stock
Q11: If a stock index futures is at