This morning (Day 0) you take a short position in a pound futures contract that matures in 3 days (Day 3). The future price is $1.9750 today. The contract size is £62,500 and its initial performance bond and maintenance bond are $2,430 and $1,830, respectively. a. (b) Assuming that the daily settlement prices are indicated below, how would the daily change in settlement future prices affect your account? Show the daily gain/loss and account balance. Day 0 1 2 3 Settlement 1.9750 1.9700 1.9815 1.9907 Total Gain/Loss Account Balance b. During this period, did you receive a margin call? If you did, on what day? c. At the end of Day 3, how much in total did you make/lose on this futures contract?
This morning (Day 0) you take a short position in a pound futures contract that matures in 3 days (Day 3). The future price is $1.9750 today. The contract size is £62,500 and its initial performance bond and maintenance bond are $2,430 and $1,830, respectively. a. (b) Assuming that the daily settlement prices are indicated below, how would the daily change in settlement future prices affect your account? Show the daily gain/loss and account balance. Day 0 1 2 3 Settlement 1.9750 1.9700 1.9815 1.9907 Total Gain/Loss Account Balance b. During this period, did you receive a margin call? If you did, on what day? c. At the end of Day 3, how much in total did you make/lose on this futures contract?
Chapter5: Currency Derivatives
Section: Chapter Questions
Problem 3IEE
Related questions
Question
Transcribed Image Text:This morning (Day 0) you take a short position in a pound futures contract that matures
in 3 days (Day 3). The future price is $1.9750 today. The contract size is £62,500 and its
initial performance bond and maintenance bond are $2,430 and $1,830, respectively.
a.
(b)
Assuming that the daily settlement prices are indicated below, how would the
daily change in settlement future prices affect your account? Show the daily
gain/loss and account balance.
Day
0
1
2
3
Settlement
1.9750
1.9700
1.9815
1.9907
Total
Gain/Loss
Account Balance
b. During this period, did you receive a margin call? If you did, on what day?
c. At the end of Day 3, how much in total did you make/lose on this futures
contract?
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