Question

# At the end of day 0, you go short in 10 futures contracts; each contract is...

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

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

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