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 Buyers beginning margin $ 1,485 $2,110 $1,485 Buyers 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 Sellers beginning margin $4,455 $4,455 $10,080 Sellers 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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This note was uploaded on 04/15/2011 for the course FINA 5500 taught by Professor Staff during the Spring '08 term at North Texas.

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