Question

Question 1

i)

A trader enters into an Australian Dollar futures contract to buy $A150,000 at a price of US$.8060 per Australian dollar. The initial margin on this contract is US$6,000 and the maintenance margin is $3,100. At what futures price will the maintenance margin level be reached?

ii)

Suppose that on Feb 10, 2018 you bought an ASX S&P 200 Share Price Index (SPI) futures

contract at an index level of 3999. Four weeks later you closed out this contract at an index

level of 3200. Your profit/loss) in regards to this transaction was?

Answer 1

i) Notional value = 150,000 * 0.8060 = US$120,900

Maintenance margin % = 3,100/120,900 = 0.02564102564

Initial margin % = 6,000/120,900 = 0.04962779156

The maintenance margin level will be reached at a price of US$ 0.7861578947 per Australian dollar

ii) Profit = Closing price - Purchase price

Profit = 3,200 - 3,999

Profit = -700

Or a loss of 700