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?

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

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Definitions:

Revitalization Movement

A social movement aimed at reforming or renewing a society by consciously instigating major changes in values, practices, or symbols.

Cultural Reform

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Financial Security

The condition of having stable income or resources to manage expenses comfortably, including unforeseen emergencies, without incurring unsustainable debts.

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In Navajo culture, skinwalkers are believed to be witches or shamans who can transform into animals.