Suppose the 180-day S&P 500 futures price is 1,355.35, while the cash price is 1

Question

Suppose the 180-day S&P 500 futures price is 1,355.35, while the cash price is 1,337.46. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 4.5 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Suppose the 180-day S&P 500 futures price is 1,355.35, while the cash price is 1,337.46. What is the implied dividend yield on the S&P 500 if the risk-free interest rate is 4.5 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Explanation / Answer

If the risk free rate is 4.5% per annum, the 180 day period's risk free rate is 4.5/2 = 2,25% =0.0225

Hence the risk free price after 180 days will be 1355.35*(1+0.0225) = 1366.87

Hence the implied dividend is = 1366.87 - 1355.35 = 11.52

Hence Implied dividend yield = 11.52/1355.35 = 0.85%

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