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Question 2-7 are based on the following series of futures price (F(0), F(1),... F(6)): Day 0:...

Question 2-7 are based on the following series of futures price (F(0), F(1),... F(6)):

Day 0: F(0)=$212

Day 1: F(1)=$211

Day 2: F(2)=$214

Day 3: F(3)=$209

Day 4: F(4)=$210

Day 5: F(5)=$202

Day 6: F(6)=$200

Suppose you are going to long 20 contracts. The initial margin=$10 per contract, and the maintenance margin is $2.

Questions:

How much do you need to deposit in the trading account at Day 0?

Using the same set of information from Question 2, what is the ending balance in Day 1?

Using the same set of information from Question 2, figure out what is the first day, on which, you receive margin call and need to put extra money into the trading account?

Using the same set of information from Question 2, answering what is the additional fund that needs to put into account on Day 6?

Using the same set of information from Question 2, answering what is the ending balance at Day 6?

Using the same set of information from Question 2, answering which day has the largest gain among the 6 days?

Solutions

Expert Solution

1. Amount Required to deposit in trading account on day 0 = 20 *$10 = $200

2. Ending Balance in Day 1 = $180

3. Amount of Margin call = 0

4. Additional fund that needs to put in to the account on Day 6 = $40

5. Ending balance on day 6 = $40

6. Day 2 has the largest gain among the 6 days

Formula spreadsheet

jeff jeffy answered 4 months ago
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