Question

Today's settlement price on the Chicago Mercantile Exchange
(CME) Yen Futures contract is $0.8011/Y100.

Margin account balance is $2000.

Next 3 days' settlement prices are:

Day 1: $0.8057/Y100

Day 2: $0.7996/Y100

Day 3: $0.7985/Y100

(The contractual size of one CME Yen contract is Y12,500,00)

If you had a SHORT POSITION what would the changes in your account
balance be:

Day 1: ?

Day 2: ?

Day 3: ?

What would the balances be per day if you had a LONG
POSITION?

Day 1:

Day 2:

Day 3:

Hint: remember that futures contracts have a daily settlement, so
you move from day 1 to day 3 using the change from the previous
day.

Answer #1

Short Position:

Day 1: Account Balance= 2000+ 12500000*(0.008011-0.008057)= 2000+ (-575)= $1425

Day 2: Account Balance= 1425+ 12500000*(0.008057-0.007996)= 1425+ 762.5= $2187.5

Day 3: Account Balance= 2187.5+ 12500000*(0.007996-0.007985)= 2187.5+ 137.5= $2325

Long Position:

Day 1: Account Balance= 2000+ 12500000*(0.008057-0.008011)= 2000+ 575= $2575

Day 2: Account Balance= 2575+ 12500000*(0.007996-0.008057)= 2575+ (-762.5)= $1812.5

Day 3: Account Balance= 1812.5+ 12500000*(0.008057-0.007996)= 1812.5+ (-137.5)= $1675

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