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Arbitrage,MTM,Beta Hedging Calculation

Arbitrage,MTM,Beta Hedging Calculation

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Published by robinkapoor

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Published by: robinkapoor on Apr 08, 2009
Copyright:Attribution Non-commercial

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05/11/2014

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presendecisionfuture priFuture decisionSpot
 
300buy 420sell
Future
350sell buy
Normal Case
resultsspot120profit herefuture-70loss herenet profit50
Bonus issue
Ratio
1
:
1
price840resultsspot540profit herefuture-490loss herenet profit50
stock split
Ratio
1
:
10
price4200resultsspot3900profit herefuture-3850loss herenet profit50
Dividend
presendecisionfuture priFuture decisiondividend Rs
14
Spot286
buy
420
sell
Future350
sell buy
resultsspot120profit herefuture-70loss heredividend14net profit64
 
Long Price
170
Security
30%Amount 59500
Lot Size
350
scurity amou
17850
Maintainen
75% ###
Future ClosiPoints chaMTM account chaAmount
174 4 1400 19250no call179 5 1750 21000no call171 -8 -2800 18200no call165 -6 -2100 16100no call155 -10 -3500 12600margin call150 -5 -1750 10850margin call170 20 7000 17850no call175 5 1750 19600no call-175 -61250 -41650margin call0 0 -41650margin call0 0 -41650margin call

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