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Consider an investment in five S&P 500 Index futures contracts at a price of $924. The initial margin requirement is 15.0% and the maintenance...

Consider an investment in five S&P 500 Index futures contracts at a price of $924.80. The initial margin requirement is 15.0% and the maintenance margin is 10.0%. If the continuously compounded interest rate is 5.0% what will the futures price need to be for a margin call to occur 10 days from now? Assume no settlement within the 10 days.

This question was asked on Jan 15, 2013.

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