Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table. Day Settlement Price 0 1340.30 1 1345.50 2 1339.20 3 1330.60 4 1327.70 5 1337.70 6 1340.60 Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day. 2. Fill the appropriate numbers in the blank cells in the following table. Day Settlement price per troy ounce Mark-to-Market Other Entries Account Balance Explanation Margin Call? Y/N 0 $1340.30 1 $1345.50 2 $1339.20 3 $1330.60 4 $1327.70 5 $1337.70 6 $1340.60
Risk A1 Q1-2
Suppose that you bought two one-year gold futures contracts when the one-year futures price of gold was US$1,340.30 per troy ounce. You then closed the position at the end of the sixth trading day. The initial margin requirement is US$5,940 per contract, and the maintenance margin requirement is US$5,400 per contract. One contract is for 100 troy ounces of gold. The daily prices on the intervening trading days are shown in the following table.
|
Day |
Settlement Price |
|
0 |
1340.30 |
|
1 |
1345.50 |
|
2 |
1339.20 |
|
3 |
1330.60 |
|
4 |
1327.70 |
|
5 |
1337.70 |
|
6 |
1340.60 |
Assume that you deposit the initial margin and do not withdraw the excess on any given day. Whenever a margin call occurs on Day t, you would make a deposit to bring the balance up to meet the initial margin requirement at the start of trading on Day t+1, i.e., the next day.
2. Fill the appropriate numbers in the blank cells in the following table.
|
Day |
Settlement price per troy ounce |
Mark-to-Market |
Other Entries |
Account Balance |
Explanation |
Margin Call? Y/N |
|
0 |
$1340.30 |
|
|
|
|
|
|
1 |
$1345.50 |
|
|
|
|
|
|
2 |
$1339.20 |
|
|
|
|
|
|
3 |
$1330.60 |
|
|
|
|
|
|
4 |
$1327.70 |
|
|
|
|
|
|
5 |
$1337.70 |
|
|
|
|
|
|
6 |
$1340.60 |
|
|
|
|
|
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