1. Assume a futures price of Php5000 at the start of the transaction, with Php250 initial margin requirement and a Ph150 maintenance margin requirement. The trader takes in a long position of 10 contracts. Marking-to-market process occurs over the period of seven trading days. A. Complete the table above for the holder of the long position. B. When could there be a margin call? C. How much are the total gains or losses by the end of day 7? Futures Beginning Balance Settlement Price Funds Ending Balance Day Price Gain/Loss Deposited Change 5000 1 4960 4800 3 5050 4 5175 5200 6. 5250.50 7 5310.75 D. Complete the table above for the holder of the short position.

1. Assume a futures price of Php5000 at the start of the transaction, with Php250 initial margin requirement and a Ph150 maintenance margin requirement. The trader takes in a long position of 10 contracts. Marking-to-market process occurs over the period of seven trading days. A. Complete the table above for the holder of the long position. B. When could there be a margin call? C. How much are the total gains or losses by the end of day 7? Futures Beginning Balance Settlement Price Funds Ending Balance Day Price Gain/Loss Deposited Change 5000 1 4960 4800 3 5050 4 5175 5200 6. 5250.50 7 5310.75 D. Complete the table above for the holder of the short position.

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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Please answer and explain without using excel. Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Month Spot Price End of Month(S) Futures Price, End of Month (F) Change in Futures Price Contract Size (ounces) Buyer/Long Position Seller/Short Position Contract Initiated 0 1307.00 1339.84 -- 100 (c) (c) Initial Margin 1 1309.00 1335.25 (b) 100 (c) (c) Monthly Adjustments 2 (a) 1336.76 (b) 100 (c) (c) 3 1332.00 1345.29 (b) 100 (c) (c) 4 1325.00 (a) (b) 100 (c)…
A company enters into a short futures contract to sell 10,000 units of a commodity for $0.5 per unit. The initial margin is $5000 and the maintenance margin is $3000. When will there be a margin call? Question 1Answer a. As soon as the futures price exceeds $0.7 per unit. b. As soon as the futures price exceeds $0.8 per unit. c. As soon as the futures price exceeds $0.5 per unit. d. As soon as the futures price exceeds $0.6 per unit.
Suppose a trader opens a short position in two rice futures contracts. Each contract is for 5,000 kilograms. The initial margin is TZS 2,000,000 per contract, and the contract expires in 100 says. Suppose the future price decreases by TZS 500 per Kilogram per day for the first 10 days, then increases by TZS 750 per kilogram per day for the next 5 days. REQUIRED: Estimate the following: The initial margin to be deposited with clearing house The total gain/loss due to price decreases The total gain/loss due to price increase The balance in the trader's margin a/c after 15 day
Please help and explain. Consider the Mark-to-Market Settlements for 1 gold futures contracts maturing in 5 months. Assume that the risk-free rate available to investors is 6% per annum with quarterly compounding and that no arbitrage relationship between spot and futures prices (Futures-Spot parity) with continuous compounding holds in all months. Also assume that the initial margin is $18,000 per contract, while the maintenance margin is $6000 per contract Month Spot Price End of Month(S) Futures Price, End of Month (F) Change in Futures Price Contract Size (ounces) Buyer/Long Position Seller/Short Position Contract Initiated 0 1307.00 1339.84 -- 100 (c) (c) Initial Margin 1 1309.00 1335.25 (b) 100 (c) (c) Monthly Adjustments 2 (a) 1336.76 (b) 100 (c) (c) 3 1332.00 1345.29 (b) 100 (c) (c) 4 1325.00 (a) (b) 100 (c) (c) Delivery 5…
As a new trader of CPO futures you brought three lots at RM 1300 per tonne wich requires you to pay initial margin of 9000 and maintain rm 8000 per contract . prepare marked to market position for the following closing prices DAY 1 . 1294 2 1290 3 1282 4 1277 5 1272 show the leverage effect of futures trading if you close out in five days
Suppose an investor takes a long position in 1 Gold futures contract, and the following information is given: Contract size = 100 ounces. Futures price = $500 Initial margin = $3,000 per contract. Maintenance margin = $2,000 per contract Date Jan. 1 Jan. 2 Jan. 3 Jan. 4 Jan. 5 Jan. 6 Jan. 7 Jan. 8 Future prices 494 495 488 490 491 474 475 474 i) In which days will there be a margin call? How much will be the variation margin in all cases? ii) In which days do the balances in the margin account exceed the initial margin? B) Party A agrees to pay Party B a fixed rate of 4%. Party B agrees to pay Party A a floating rate based on the return of the S&P 500 Index. The payments will be made annually and will be based on a notional principal of $1,000,000. i) Suppose at the end of the first year, the S&P 500 appreciated by 4.5%. How much will Party B will pay Party A II) What will happen in the second year, if the S&P 500 depreciated…
A trader enters into a long strangle for SGD/USD with a call strike price of 0.7034 and a put strike price of 0.6935. The call option premium on SGD is USD 0.015. The put option premium on SGD is USD 0.026. One option contract represents SGD 3,500,000. What is the net profit of the trader if SGD/USD = 0.7236 at expiry?
The futures contract for settlement in 4 months is trading at F0 = $6.35 and the cash market is trading at S1 = $6.42. The 4-month interest rate on a continuously compounded basis is 2 percent. What is the arbitrage trade that is available, the transactions and the arbitrage profit? Buy now at S1 with borrowed money and enter a short forward contract at Fo. At time T deliver the underlying, receive F0 and pay back the loan plus interest. Net profit is: $0.4200 Buy now at S1 with borrowed money and enter a short forward contract at Fo. At time T deliver the underlying, receive F0 and pay back the loan plus interest. Net profit is: $0.0280 Sell short S1 and invest proceeds at r and enter long a forward contract at Fo; at time T receive the underlying for F0, cover the short and also collect the principal plus from the bank. Net profit is: 0.1129
the multiplier of a futures contract on the stock market index is $250. The maturity of the contract is one year. The current level of the index is 2550 , and the risk free interest rate is .0% per month. The dividend yield on the index is .2% per month. Suppose that after five months, the stock index is at $2495. Assume that the party condition always hold exactly. Find the holding period return for the short position if the initial margin of the contract is 10% of the original contract value.
A one year gold futures contract is selling for $1,754. Spot gold prices are $1,600 and the one-year risk free rate is 3.4%. The arbitrage profit per contract implied by these prices is____________
A forward contract with 8 months to maturity is written on an underlying share. The market price of the share is $34, and it is expected to pay dividends of $1.40 after 2 months and $2 immediately prior to maturity of the forward. The relevant riskless rate of interest is 4%. Calculate the theoretical forward price and initial value of the forward contract and explain the forward pricing relationship.
A one year gold futures contract is selling for $1,685. Spot gold prices are $1,610 and the one year risk free rate is 3%. The arbitrage profit per contract implied by these prices is _____________. Group of answer choices 24.75 39.77 28.92 26.70 22.60

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