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

question 28

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?


Definitions:

Autonomic Nervous System

The part of the nervous system that controls involuntary physiological functions such as heart rate, digestion, and respiratory rate.

Somatic Nervous System

A component of the peripheral nervous system responsible for the voluntary movements of the body through skeletal muscles.

Endocrine System

The body’s “slow” chemical communication system; a set of glands that secrete hormones into the bloodstream.

Sensory Neurons

Neurons that carry incoming information from the sensory receptors to the brain and spinal cord.

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