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标题: Futures Margin Question - Easy [打印本页]

作者: prav_Cfa7 时间: 2011-7-11 19:50 标题: Futures Margin Question - Easy

A silver futures contract requires the seller to deliver 5,000 Troy ounces of silver. An investor sells one July selver futures contract at a price of $8 per ounce, posting a $2,025 initial margin. If the required maintenance margin is $1,500, the price per ounce at which the investor woudl first receive a maintence margin call is closest to:

A. $5.92
B. $7.89
C. $8.11
D. $10.80

**The answer is C. $8.11.

Why is it $8.11?

I eliminated A and B immediately because he is shorting it, therefore the call price has to be above $8.

Then I thought I should use:

Trigger Price = P0 * (1 + Initial Margin %) / (1 + Maintenance Margin %)

When I did this, I kept getting $8.64. Anyone know how to get $8.11?

作者: ajpheif16 时间: 2011-7-11 19:50

Edited: Wrong solution, still wasn't getting 8.11

Edited 1 time(s). Last edit at Friday, June 5, 2009 at 06:23PM by azima.

作者: burnsy562000 时间: 2011-7-11 19:50

You subtract from one if you LONG the position.

You add to one if you SHORT the position.

Even if you subtract from 1, you still don't get $8.11 unfortunately.

作者: ramdabom 时间: 2011-7-11 19:50

you supposed to use the Long margin call formula

initial margin % = 2025/$8 times 5000 ounces = .0506
maintenance margin % = 1500/ same above = .0375

plug everything into your formula you'll get $8.11

作者: Jolyn 时间: 2011-7-11 19:50

That makes sense...

Thanks.

作者: dcfox83 时间: 2011-7-11 19:50

40000(1.0506)/(1.0375) = 40505/5000 = 8.1

作者: kmf229 时间: 2011-7-11 19:50

8((1+2025/40000)/(1+1500/40000))= 8.101 close

additions welcome

作者: kd26gioi 时间: 2011-7-11 19:50

OK I had all the conceptual stuff right, here is what I was doing wrong:

To calculate initial and maintenance margin %, I would divide the dollars by 5000 instead of (5000*8).

Careless errors, they will be the death of me.

Movado, I think you meant use the SHORT margin call formula, not the Long.

作者: ogoluwa 时间: 2011-7-11 19:50

Worst comes to worst just plug and chug.

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