The Three-Month S&P 500 Futures Contract Is Trading at a Level

question 5

Multiple Choice

The three-month S&P 500 futures contract is trading at a level of 1250.The rate of interest is 2%.The average rate of dividends for stocks in the index is 3%.Index volatility is 20%.What is the Black-Scholes price of a one-year at-the-money put option on the futures?

• A)$97.34
• B)$97.60
• C)$98.33
• D)$99.12