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1
A futures contract is a derivative security.
A)True
B)False
2
The net value of a futures contract is zero.
A)True
B)False
3
Recognizing gains and losses on futures positions on a daily basis is called marking-to- market.
A)True
B)False
4
Futures contracts are available on which of the following?
  1. I. cocoa
  2. II. euros
  3. III. copper
  4. IV. NASDAQ 100
A)I and III only
B)II and IV only
C)I, II, and III only
D)I, III, and IV only
E)I, II, III, and IV
5
The contract size for the interest rate futures on Treasury bonds is a face value of:
A)$10,000.
B)$100,000.
C)$1,000,000
D)$10,000,000.
E)$100,000,000.
6
An interest rate futures contract on a Treasury note opened at a quote of 101-180 and closed at a quote of 101-230. The contract size is $100,000 face value. By how much did the price of one contract change during the day?
A)$15.63
B)$50.00
C)$156.25
D)$500.00
E)$1,562.50
7
You have one open futures position. You can withdraw funds from your margin account:
A)only after you close the position.
B)as long as you leave an amount equal to the maintenance margin.
C)as long as there are funds in the account.
D)provided you do not reduce the balance below the initial margin amount.
E)only if you hold a long position.
8
The cash price of ethanol is $2.42 per gallon. Assume there are no storage or other costs and the risk-free rate is 5.25 percent. What should the 2-year futures price of ethanol be?
A)$2.17
B)$2.29
C)$2.48
D)$2.54
E)$2.68
9
Roger just sold 18 futures contracts on the S&P 500 index to completely hedge his portfolio against price risk. The contract size is $250 times the index level, which is currently 1,295. What is the size of Roger's portfolio if the portfolio beta is 1.2?
A)$4,141,414
B)$4,306,820
C)$4,856,250
D)$4,911,167
E)$5,002,250
10
The duration of a U.S. Treasury note is 7.25 years. What is the duration of a 6-month futures contract on this note?
A)6.75 years
B)7.00 years
C)7.25 years
D)7.50 years
E)7.75 years





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