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The current level of S&P 500 index is 1300. The annual risk-free rate is 6%, and the annual dividend yield is 1%. Jane decides to enter to long one futures contract on S&P 500 that matures in 6 months. The multiplier of the futures contract is $250. The initial margin requirement is 10% of the contract value. Assuming that the futures position is priced efficiently, how much should Jane deposit in her account as the 10% initial margin? (Hint: Current level ≠ Futures price)

Oliver bought 100 IBM stocks at $70 per share and bought a Feb 72 put with the premium being $3/share. What’s his total profit/loss at expiration date if IBM stock price is $74/share?

What factors drive the probability that an option will be exercised? 1. Time to expiry 2. The margin requirements 3. The ratio of stock price to strike price 4. Volatility 

An American option __________ whereas a European option __________.

What is the primary benefit of the daily valuation method and approximate method for measuring the performance of a fund?

Is the bolded statement TRUE or FALSE? In class we spent some time on the design of the oxygen-binding pocket of both Hb and Mb to illustrate the structural functional relationship within these proteins.  The distal His (His E7), as discussed, forms the top portion of the oxygen-binding pocket and the proximal His (His F8), forms the bottom portion and a covalent bond to the heme.  We then moved into the allosteric behavior of Hb.  Given these topics which of the following statement(s) is (are) true? 56. BPG shifts the equilibrium of Hb’s conformation toward the “T”-state.57. Replacement of the distal His with a Gly side chain would result in a Mb or Hb protein with a decreased affinity for oxygen. 58. Replacement of the distal His with a Trp side chain would result in a Mb or Hb protein with a decreased affinity for carbon monoxide. 59. The distal His can form a hydrogen bond to both oxygen and carbon monoxide.60. If a molecule that binds to Hb causing a shift of Hb’s conformation toward the R-state, the Kd of Hb for oxygen will decrease.

Select the correct match for each word or phrase on the left.  There is only one correct answer per match.  Each responses is with 1.5 points making the whole question worth 7.5 points. 

What is the main implication the concept of interest rate parity?

Which of the following is true about options arbitrage (assuming put-call parity is violated)? 1. Profit is earned at the time of portfolio entry (i.e. when you buy or short-sell your positions) 2. Profit is earned at the time of portfolio exit (i.e. when you close out all your positions) 3. Profit is guaranteed no matter what the stock price is at expiry 4. It costs nothing to perform options arbitrage 5. Options arbitrage is always impossible to achieve

A portfolio consisting of a stock position and an option position is generally referred to as: