Donna Doni, CFA, wants to explore potential inefficiencies in the futures market. The TOBEC stock index has a spot value of 185. TOBEC futures contracts are settled in cash and underlying contract...

Donna Doni, CFA, wants to explore potential inefficiencies in the futures market. The TOBEC stock index has a spot value of 185. TOBEC futures contracts are settled in cash and underlying contract values are determined by multiplying $100 times the index value. The current annual

risk-free interest rate is 6.0%.
a. Calculate the theoretical price of the futures contract expiring six months from now, using the cost-of-carry model. The index pays no dividends.
The total (round-trip) transaction cost for trading a futures contract is $15.
b. Calculate the lower bound for the price of the futures contract expiring six months from now.