Please help me with this assignmentNote: This assignment is an individual assignment. Please submit...

Question

Please help me with this assignmentNote: 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.  1.  Construct the daily margin accounts for your position. a. Note: The maintenance margin is $31,500. 2. Please follow Table 2.1.  Construct the daily margin accounts for your counterparty’s position. 3. Record the daily closing value of the underlying index, over the period from 9/5 to 10/3 on a spreadsheet (website: finance.yahoo.com). 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. 4. 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. i. Please google the dividend yield for S&P 500 index.   ii. You can assume the maturity date of the December futures contract is 12/31/2019. 5. Analyze and Discuss, in a maximum of 1 double-spaced page,  a. the futures’ prices behaviors over time (You can draw the charts to help your analysis); and b. the validity of the formula with the collected data.

Akhilesh · Accepted Answer

Data
	Check
	5-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Wednesday, 11 Sep 2019 04:00 PM
		About This Report
		19-Sep	2938	2986	2937	2972.00A	33.5	2972	3,257	36,776
		19-Dec	-	2986.50B	-	2974.50A	33.9	2973.3	119	484
		20-Mar	-	-	-	-	34.8	2974.4	0	0
		20-Jun	-	-	-	-	33	2972.5	0	0
		20-Sep	-	-	-	-	33.5	2972	0	0
		20-Dec	-	-	-	-	33	2973.1	0	0
		21-Mar	-	-	-	-	33	2973.4	0	0
		21-Jun	-	-	-	-	33.1	2973.7	0	0
		21-Dec	-	-	-	-	33.1	2974.3	0	0
		22-Dec	-	-	-	-	33.1	2975.5	0	0
		23-Dec	-	-	-	-	33	2976.6	0	0
		Total							3,376	37,260
	6-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Wednesday, 11 Sep 2019 04:00 PM
		About This Report
		19-Sep	2979	2987.50B	2971.00A	2981.5	8.8	2980.8	977	35,308
		19-Dec	-	2977.00B	-	2977.00B	8.9	2982.2	25	546
		20-Mar	-	-	-	-	9.2	2983.6	0	0
		20-Jun	-	-	-	-	8.6	2981.1	0	0
		20-Sep	-	-	-	-	8.8	2980.8	0	0
		20-Dec	-	-	-	-	8.6	2981.7	0	0
		21-Mar	-	-	-	-	8.6	2982	0	0
		21-Jun	-	-	-	-	8.6	2982.3	0	0
		21-Dec	-	-	-	-	8.6	2982.9	0	0
		22-Dec	-	-	-	-	8.6	2984.1	0	0
		23-Dec	-	-	-	-	8.7	2985.3	0	0
		Total							1,002	35,854
	9-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Wednesday, 11 Sep 2019 04:00 PM
		About This Report
		19-Sep	2984.7	2990.90B	2970.50A	2978.2	-2.6	2978.2	2,808	35,385
		19-Dec	2974.5	2985.50B	2974.5	2979.00A	-2.4	2979.8	232	532
		20-Mar	-	-	-	-	-2.4	2981.2	0	0
		20-Jun	-	-	-	-	-2.8	2978.3	0	0
		20-Sep	-	-	-	-	-2.2	2978.6	0	0
		20-Dec	-	-	-	-	-2.8	2978.9	0	0
		21-Mar	-	-	-	-	-2.8	2979.2	0	0
		21-Jun	-	-	-	-	-2.8	2979.5	0	0
		21-Dec	-	-	-	-	-2.8	2980.1	0	0
		22-Dec	-	-	-	-	-2.8	2981.3	0	0
		23-Dec	-	-	-	-	-2.8	2982.5	0	0
		Total							3,040	35,917
	10-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Wednesday, 11 Sep 2019 04:00 PM
		About This Report
		19-Sep	2972.8	2984.50B	2958.00A	2978.5	0.3	2978.5	2,127	35,580
		19-Dec	-	-	-	-	0.4	2980.2	20	591
		20-Mar	-	-	-	-	0.7	2981.9	0	0
		20-Jun	-	-	-	-	2.2	2980.5	0	0
		20-Sep	-	-	-	-	UNCH	2978.6	0	0
		20-Dec	-	-	-	-	UNCH	2978.9	0	0
		21-Mar	-	-	-	-	UNCH	2979.2	0	0
		21-Jun	-	-	-	-	UNCH	2979.5	0	0
		21-Dec	-	-	-	-	UNCH	2980.1	0	0
		22-Dec	-	-	-	-	UNCH	2981.3	0	0
		23-Dec	-	-	-	-	UNCH	2982.5	0	0
		Total							2,147	36,171
	11-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Wednesday, 11 Sep 2019 04:00 PM
		About This Report
		19-Sep	2985.7	3004	2972.70A	3002.00B	23.5	3002	2,424	35,706
		19-Dec	2983.5	3003	2983.5	3003	23.5	3003.7	109	599
		20-Mar	-	-	-	-	23.5	3005.4	0	0
		20-Jun	-	-	-	-	21.8	3002.3	0	0
		20-Sep	-	-	-	-	23.8	3002.4	0	0
		20-Dec	-	-	-	-	23.8	3002.7	0	0
		21-Mar	-	-	-	-	23.8	3003	0	0
		21-Jun	-	-	-	-	23.8	3003.3	0	0
		21-Dec	-	-	-	-	23.8	3003.9	0	0
		22-Dec	-	-	-	-	23.8	3005.1	0	0
		23-Dec	-	-	-	-	23.8	3006.3	0	0
		Total							2,533	36,305
	12-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Tuesday, 17 Sep 2019 06:00 PM
		About This Report
		19-Sep	3002.4	3019.3	3002.00A	3012.5	9.8	3011.8	3,107	37,024
		19-Dec	3010.5	3021.00B	3004	3013.50B	10	3013.7	1,604	648
		20-Mar	-	-	-	-	10.2	3015.6	0	0
		20-Jun	-	-	-	-	12	3014.3	0	0
		20-Sep	-	-	-	-	9.6	3012	0	0
		20-Dec	-	-	-	-	9.6	3012.3	0	0
		21-Mar	-	-	-	-	9.6	3012.6	0	0
		21-Jun	-	-	-	-	9.6	3012.9	0	0
		21-Dec	-	-	-	-	9.6	3013.5	0	0
		22-Dec	-	-	-	-	9.6	3014.7	0	0
		23-Dec	-	-	-	-	9.6	3015.9	0	0
		Total							4,711	37,672
	13-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Tuesday, 17 Sep 2019 06:00 PM
		About This Report
		19-Sep	3015.5	3017.50B	3005.50A	3008.5	-5.4	3006.4	4,701	37,667
		19-Dec	3019.7	3025.3	3006.50A	3008.50B	-5.1	3008.6	1,900	1,488
		20-Mar	-	-	-	-	-4.7	3010.9	0	0
		20-Jun	-	-	-	-	-3.4	3010.9	0	0
		20-Sep	-	-	-	-	-1.8	3010.2	0	0
		20-Dec	-	-	-	-	-4.6	3007.7	0	0
		21-Mar	-	-	-	-	-4.6	3008	0	0
		21-Jun	-	-	-	-	-4.6	3008.3	0	0
		21-Dec	-	-	-	-	-4.6	3008.9	0	0
		22-Dec	-	-	-	-	-4.6	3010.1	0	0
		23-Dec	-	-	-	-	-4.6	3011.3	0	0
		Total							6,601	39,155
	16-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Tuesday, 17 Sep 2019 06:00 PM
		About This Report
		19-Sep	2995	3002.00B	2992.00A	3000	-7.3	2999.1	9,267	36,068
		19-Dec	2994.4	3005.1	2984.00A	3002.00A	-7.1	3001.5	8,515	2,373
		20-Mar	-	-	-	-	-7.2	3003.7	0	0
		20-Jun	-	-	-	-	-7	3003.9	0	0
		20-Sep	-	-	-	-	-10	3000.2	0	0
		20-Dec	-	-	-	-	-7.2	3000.5	0	0
		21-Mar	-	-	-	-	-7.2	3000.8	0	0
		21-Jun	-	-	-	-	-7.2	3001.1	0	0
		21-Dec	-	-	-	-	-7.2	3001.7	0	0
		22-Dec	-	-	-	-	-7.2	3002.9	0	0
		23-Dec	-	-	-	-	-7.2	3004.1	0	0
		Total							17,782	38,441
	17-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Last Updated: Tuesday, 17 Sep 2019 06:00 PM
		About This Report
		19-Sep	2994	3006	2994	3005.50A	6.3	3005.4	6,340	33,219
		19-Dec	3005.5	3009	2994.60A	3007.30A	6.4	3007.9	6,078	8,458
		20-Mar	-	-	-	-	6.7	3010.4	0	0
		20-Jun	-	-	-	-	2.7	3006.6	0	0
		20-Sep	-	-	-	-	6.7	3006.9	0	0
		20-Dec	-	-	-	-	6.7	3007.2	0	0
		21-Mar	-	-	-	-	6.7	3007.5	0	0
		21-Jun	-	-	-	-	6.7	3007.8	0	0
		21-Dec	-	-	-	-	6.7	3008.4	0	0
		22-Dec	-	-	-	-	6.7	3009.6	0	0
		23-Dec	-	-	-	-	6.7	3010.8	0	0
		Total							12,418	41,677
	18-Sep	Month	Open	High	Low	Last	Change	Settle	Estimated Volume	Prior Day Open Interest
		Sep 19	3000.5	3008	2981.00A	3007.30A	0.9	3006.3	2,787	27,854
		Dec 19	3004.2	3012.6	2981	3008.30A	0.7	3008.6	2,717	11,465
		Mar 20	-	-	-	-	0.8	3011.2	0	0
		Jun 20	-	-	-	-	1.1	3007.7	0	0
		Sep 20	-	-	-	-	1.1	3008	0	0
		Dec 20	-	-	-	-	1.1	3008.3	0	0
		Mar 21	-	-	-	-	1.1	3008.6	0	0
		Jun 21	-	-	-	-	1.1	3008.9	0	0
		Dec 21	-	-	-	-	1.1	3009.

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...

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

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