Question

Practice Problems for Futures Contracts Specs and Margins - Part 2 4. Suppose there is a matched long short position on Big S&P500 futures contract. Estimate the margin balance for each account for the days shown. Assume the Maintenance Margin for this contract is $33,000. /SP LONG POSITION SHORT POSITION Day Gain/Loss Margin Variance Gain/Loss Margin Variance Price Margin Margin 1 3315.50 2 3298.30 3 3318.80 4 3336.10 The ending margins should be 45,750 for the long and 36,300 for the short. The Variance Margins (i.e., the amount of the margin call) for day 2 should be $4,300 (long) and for day 4 should be 5,150 (short). 4a. For the problem above, estimate the tick size and value, the contract size and value (on day 1 it is $828,875), the number of ticks to a margin call (132), and the trigger price of the contract for the first margin call (3328.7 for short and 3302.30 for long). 5. Sunnase the tradere in question #1 are both allowed a 7 contract nosition limit Fetimate the

Answer 1

Refer the watched picture for the table.

Day SP Long Position Short Position g/1 m vmg/1 m vm 36300 36300 1-4300 32000 4300 430040600 5125 41425 -512535475 432545750 -432531150 5150 3315.5 3298.3 3318. 8 3336.1 3

First calculating the contact size. On day 2 long position holder gets a marginal call of 4300. The per unit loss of long position holder is = 3298.3 - 3315.5 = - $ 17.2 per unit

Let n be the contract size

Gain /Loss = - 17.2 × n

=> - 4300 = -17.2n

=> n = 4300/17.2 = 250 units

Contract size = 250 units

In short position the margin account balance on last day that is on the day he deposits variance margin is $ 36,300.

Initial margin = $ 36,300

Long position

D	SP	G/L	M	VM
1	3315.5	-	$ 36,300	-
2	3298.3	(3298.3-3315.5)×250 = - 4300	32,000	$ 4300
2	3298.3	-	$ 36,300	-
3	3318.8	(3318.8-3298.3)×250 = 5125	41425	-
4	3336.1	(3336.1-3318.8)×250 = 4325	47,750	-

Short position

D	SP	G/L	M	VM
1	3315.5	-	$ 36,300	-
2	3298.3	(3315.5-3298.3)×250 = 4300	40,600	-
3	3318.8	(3298.3-3318.8)×250 = - 5125	35,475	-
4	3336.1	(3318.8 -3336.1)×250 = -4325	31,150	$ 5150
4	3336.1	-	$ 36,300	-

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