An investor holds a short position in four July crude palm oil futures contracts. When the contract was entered into on day zero, the futures price was RM 2200 per metric tonne. The initial margin is RM 2750 per contract, and the maintenance margin is RM 1500 per contract. The following table gives information on the price of CPO for July delivery over a 3-day period. Closing futures Price (RM) 2150 2300 2350 Day 1 3 Assess what will the variation margin be on the first day a margin call is received? A. RM 11,000 B. RM 10,000 C. RM 5,000

An investor holds a short position in four July crude palm oil futures contracts. When the contract was entered into on day zero, the futures price was RM 2200 per metric tonne. The initial margin is RM 2750 per contract, and the maintenance margin is RM 1500 per contract. The following table gives information on the price of CPO for July delivery over a 3-day period. Closing futures Price (RM) 2150 2300 2350 Day 1 3 Assess what will the variation margin be on the first day a margin call is received? A. RM 11,000 B. RM 10,000 C. RM 5,000

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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1. Assume an investor takes a long position in 4 September KLSE CI futures contract on 15th July. The futures contract price is RM1623.00. The initial margin and maintenance margin are RM6,500 per contract and RM4,500.00 per contract respectively. The trader closes his position on the sixth day. The contract size is RM50 per contract. The futures settlement prices during those six days are: Day 1 RM1621 Day 2 RM1625 Day 3 RM1630 Day 4 RM1620 Day 5 RM1618 Day 6 RM1640 a. Determine the trader's total gains or losses. b. How much does the trader pay for margin call ? * Show all workings
9-month long futures contract on an investment asset that provides $25 coupon payment in 3 months. Storage cost is $2 per unit payable at 9 mos. Spot price of asset is $275 per unit. Risk-free rate is 6.5% per annum. B. Suppose futures price is $320, how will the trader exploit the arbitrage opportunity?
An investor enters into a long oil futures contract when the futures price is $18.0 per barrel. The contract size if 100 barrels of oil. How much does the investor gain or lose if the oil price at the end of the contract equals $16.75?
We define basis as futures price minus cash price. In general, what is the expected sign of the basis one month prior to expiry for oil sold on the spot market at the futures contract’s delivery location? (i) positive (ii) negative (iii) zero
Suppose that on September 05, 2021, a company takes a short position in one April 2022 live - cattle futures contract. One contract is for the delivery of 50,000 pounds of cattle. The initial margin for each contract is $\$ 3, 000 $ and the maintenance margin is $\$ 2,000 $. The futures price (per pound) is 180.00 cents when it enters into the contract.(a) If the company receives a margin call at the end of the third day to deposit a variation margin of $1250, what is the settlement price at the end of the day?
A trader bought two July futures contracts. Each contract is for the delivery of 1,000 barrels. The initial margin is $11,250 per contract and the maintenance margin is $9,000. Calculate the daily gain and loss and margin account balance from April 13, 2020 to April 15, 2020 and explain when the investor will receive a margin call and how much does he need to top up?
An investor has taken 50 short positions on a futures contract with a startingtime of 4 TL per contract, a continuation period of 3.00 TL for each contract and a current price of 20 TL. In addition, only 1 basis application is made for each contract. After 1 day, the contract price was 22 TL. How much funds need to be invested to cover the initial delivery?
M2
Give typing answer with explanation and conclusion
9-month long futures contract on an investment asset that provides $25 coupon payment in 3 months. Storage cost is $2 per unit payable at 9 mos. Spot price of asset is $275 per unit. Risk-free rate is 6.5% per annum. C. Suppose futures price is $220, how will the trader exploit the arbitrage opportunity?
act. The detalls of the contract are given below Date of contract 1 September 2015 Close out date (maturity 4 September 2015 date) Contract price Size of contract R975 per ounce 10 futures contract, each contract represents 100 troy ounces The initial margin Maintenance margin R12,000 per contract RI1,200 per contract Over the four trading days, the gold prices were as follows Date Spot price 1* September 2015 2nd September 2015 R964 R960 3rd September 2015 R970 4th September 2015 R980 Required 1. Explain whether Chill Ltd is buying or selling futures as a hedge. 2. Demonstrate the concept of marking to market using the 10 gold futures. Do that for the buyer and the seller. Clearly show the balance in the margin account at the end of each of the four trading days. 3. Under what circumstances is (a) a short hedge and (b) a long hedge appropriate?
When opening a new position on futures contract, a broker requires initial margin of 15% (of the initial contract size). The broker requires an investor to replenish his margin account when the balance falls below the maintenance margin of 10% (of initial contract size). What is the margin account balance of short trader at t=3? Futures prices each day are given below. They opened 10 contracts, and contract size is 100 bushels. t-0 (initial trade) t-1 t-2 t=3 a) $150 Ob) $240 Oc) $120 d) $60 Futures Price (per bushel) $0.4 $0.45 $0.35 $0.36 Long Position Margin Short Position Margin ???

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