On Oct 5, 2011, you sold 10 Eurodollar futures contracts for Dec 2013 delivery at 98.995....
On Oct 5, 2011, you sold 10 Eurodollar futures contracts for Dec 2013 delivery at 98.995. You closed your position by buying 10 ED contracts at 99.015 on Jan 13, 2012. What is your gain or loss? One ED futures contract has a notional principal of $1 million with a 90-day maturity based on 30/360 day count method.
| F(Oct 5, 2011)= | 98.995 |
| F(Jan 13,2012)= | 99.015 |
| No of contracts = | 10 |
| Change in price quoted | |
| $ amount gain (loss) |
Homework Answers
| F(Oct 5, 2011)= | 98.995 |
| F(Jan 13,2012)= | 99.015 |
| No of contracts = | 10 |
| Change in price quoted | 0.0200 |
| $ amount gain (loss) | $ -2,00,000 |
| As the sale price is less there is a loss equal to 1000000*10*(98.995-99.015) = | $ -2,00,000 |
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