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LOS c, (Part 2): Compute and interpret the margin balance, given the previous day's balance and the change in the futures price. ffice ffice" />
Q1. An investor bought a futures contract covering 100,000 Mexican Pesos at 0.08196 and deposited margin of $320. The following day the contract settlement price was 0.08201. The new margin balance in the account is:
A) $320.
B) $325.
C) $314.
Correct answer is B)
320 + 100,000(0.08201 ? 0.08196) = $325
Q2. An investor sold ten March stock index futures contracts. The multiplier on the contract is 250. At yesterday’s settlement price of 998.40 the margin balance in the account was computed as $86,450. Today the index future had a settlement price of 1000.20. The new margin amount is:
A) $90,950.
B) $81,950.
C) $86,900.
Correct answer is B)
86,450 ? 10 × 250 × (1000.2 ? 998.4) = $81,950
Q3. A trader is long four July gold futures contracts, each with a contract size of ffice:smarttags" />300 oz. If the price of July gold increases from $380.20 to $381.00 per ounce the change in the margin balance will be:
A) $240.
B) $960.
C) -$960.
Correct answer is B)
4 × 300 × (381 – 380.20) = $960
Q4. Faye Sagler takes a long position in 12 August yttrium futures contracts at a contract price of $3.50 per unit. Each contract is for 1,000 units of yttrium. The required initial margin is $400 per contract and the maintenance margin is $300 per contract. August yttrium futures decline to $3.42, $3.38, and $3.31 on the next three trading days. On the first day that Sagler will be required to deposit additional cash into her futures account, the required deposit is closest to:
A) $240.
B) $1,440.
C) $960.
Correct answer is B)
The initial margin is $400 × 12 = $4,800 and the maintenance margin level will be $300 × 12 = $3,600. Each $0.01 change in the price of yttrium changes the value of the account by $0.01 × 1,000 × 12 = $120.
|
Day |
Price |
Daily Change |
Gain/Loss |
Balance |
|
0 |
$3.50 |
|
|
$4,800 (initial margin) |
|
1 |
$3.42 |
-$0.08 |
-$960 |
$3,840 |
|
2 |
$3.38 |
-$0.04 |
-$480 |
$3,360 |
|
3 |
$3.31 |
-$0.07 |
-$840 |
$2,520 |
At the end of Day 2, the account balance has fallen below the maintenance margin level of $3,600, so Sagler must deposit enough cash to bring the balance back to the initial margin level of $4,800. The deposit is $4,800 - $3,360 = $1,440.
Q5. A trader has a long position in a wheat contract.
- The initial margin is $5,000.
- The maintenance margin is $3,750.
- There are 5,000 bushels in each wheat contract.
- On July 10, the price is $2.00 per bushel.
What is the price at which the trader will receive a maintenance margin call?
A) $2.25.
B) $1.75.
C) $1.90.
Correct answer is B)
The trader would have to lose $1,250, or 5,000 ? 3,750 before they get a margin call. 5,000(2.00 ? P) = 1,250. P = $1.75.
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发表于 2009-3-2 10:14
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