Question

At time 2/01/2012, you take a long futures position with maturity 15/03/2012. How much did you...

At time 2/01/2012, you take a long futures position with maturity 15/03/2012. How much did you eventually pay for your position in the S&P500 futures? (What does it mean, when it says how much did you eventually pay)

date Future price settle price daily gain
2/01/2012 1252.6 1252.6 0
3/01/2012 1272.1 19.5
4/01/2012 1273 0.9
5/01/2012 1273.1 0.1
6/01/2012 1274.2 1.1
9/01/2012 1275.6 1.4
10/01/2012 1286.1 10.5
11/01/2012 1288.2 2.1
12/01/2012 1291.7 3.5
13/01/2012 1288.9 -2.8
16/01/2012 1288.9 0
17/01/2012 1289.3 0.4
18/01/2012 1302.2 12.9
19/01/2012 1310.4 8.2
20/01/2012 1310.8 0.4
23/01/2012 1311.1 0.3
24/01/2012 1311.4 0.3
25/01/2012 1320.2 8.8
26/01/2012 1315.3 -4.9
27/01/2012 1312.5 -2.8
30/01/2012 1308.9 -3.6
31/01/2012 1308.2 -0.7
1/02/2012 1319.8 11.6
2/02/2012 1322.7 2.9
3/02/2012 1339.1 16.4
6/02/2012 1339.1 0
7/02/2012 1344.7 5.6
8/02/2012 1347 2.3
9/02/2012 1348.3 1.3
10/02/2012 1340.6 -7.7
13/02/2012 1349.1 8.5
14/02/2012 1347.7 -1.4
15/02/2012 1342.2 -5.5
16/02/2012 1354.8 12.6
17/02/2012 1359.7 4.9
20/02/2012 1359.7 0
21/02/2012 1360.1 0.4
22/02/2012 1355.9 -4.2
23/02/2012 1362.9 7
24/02/2012 1363.3 0.4
27/02/2012 1367.3 4
28/02/2012 1371.4 4.1
29/02/2012 1364.4 -7
1/03/2012 1374.5 10.1
2/03/2012 1368.8 -5.7
5/03/2012 1364.4 -4.4
6/03/2012 1341.9 -22.5
7/03/2012 1352.8 10.9
8/03/2012 1366.4 13.6
9/03/2012 1372.6 6.2
12/03/2012 1372.5 -0.1
13/03/2012 1396.2 23.7
14/03/2012 1394.2 -2
15/03/2012 1401.8 1401.8 7.6
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Answer #1

In case of trading in F&O, One has to settle the MTM margin everyday i.e The settling price for the day vis-a-vis yesterday settled price needs to be compares and net amount payable and receivable is cleared each day. However to compute the profit/loss from a trade, trade will compare the price at the maturity with its buy price. In this case of long future position, Price on settlement days was 1401.80 where as purchase price is 1252.60, Net difference of $ 149.20 (1401.80 - 1252.60) is receivable by the trader eventually.

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