Question

At the end of day 0, you go short in 10 futures contracts; each contract is for a single unit of an underlying commodity with a futures settlement price at the end of day 0 of $96. This is the futures price for you at the end of day 0, therefore there is no marking to the market for you on that day. The initial margin is $8 per contract and the maintenance margin is $6 per contract. Over the following three trading days, this futures has end-of-day settlement prices of $99 at t=1, $95 at t=2, and $97 at t=3. What is your gain/loss if you close at the end of the day 3 for the ten contracts? –$20 –$10 $10 $20 30

Answer 1

At the end of day 3, there is a net loss of -$10

Number of contracts = 10

Initial margin = initial margin per contract*number of contracts = 8*10 = 80

Maintenance margin = maintenance margin per contract*number of contracts = 6*10 = 60

Day	Trade price	Settlement price	Daily gain/loss	Cumulative gain	Margin account balance	Margin call
0	96				80
1		99	-30	-30	50	30
2		95	40	10	120
3	97		-20	-10	100

Daily gain/loss = (last day's price - today's price)*number of contracts

Cumulative gain/ = last day's cumulative gain + today's daily gain/loss

Margin account balance = last day's margin account balance + margin call + today's daily gain/loss