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Currency Futures Inclass Problem sol

# Currency Futures Inclass Problem sol - \$0.01-\$0.03 Total...

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Solutions: In Class Exercise # 1: Tracking Profit / Loss in the Futures Market Assume that the attached futures price quote is from 9/15/XX, and that over the next two days the December futures contract price for BP changed to \$1.5746, and then to \$1.5446. Please use the following table to track the daily profit/loss and margin positions over the next two days, for: (1) the buyer of one December BP futures contract (2) the seller of three December BP futures contracts Note: 1 contract = BP 62,500; Initial margin = \$1,485 per contract; Maintenance margin = \$1,100 per contract 9/15/XX 9/16/XX 9/17/XX December BP Futures Price \$1.5646 \$1.5746 \$1.5446 Change in FP from previous day
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Unformatted text preview: +\$0.01-\$0.03 Total dollar profit/loss for buyer (1 C) 0.01* 62,500 = +\$625-0.03*62,500 = -\$1,875 Buyer’s beginning margin \$ 1,485 \$2,110 \$1,485 Buyer’s ending margin \$1,485 + \$625 = \$2,110 \$2,110 - \$1,875 = \$235 Excess/deficit ending margin for buyer \$1,485 \$2,110- \$1,485 = \$625 \$1,485 - \$235 = - \$1,250 Total dollar profit/loss for seller (3 C)- 0.01*62,500*3= - \$1,875 0.03*62,500*3= \$5,625 Seller’s beginning margin \$4,455 \$4,455 \$10,080 Seller’s ending margin \$4,455 - \$1,875 = \$2,580 \$5,625+\$4,455 =\$10,080 Excess/deficit ending margin for seller \$1,455 x 3 = \$4,485 \$ 2,580 - \$4,485 = -\$1,875 \$10,080-\$4,455 = \$5,625...
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