Suppose the underlying index is currently 950 and the initial margin is 10%. You wish to enter
Fantastic news! We've Found the answer you've been seeking!
Question:
to enter into 10 futures contracts on the underlying index. The tick size of this futures contract is
0.25 index points. The multiplier on this futures contract is 250.
[a] What is the notional value of your position? What is the initial margin requirement in dollars?
[b] Suppose you earn a continuously compounded rate of 6% on your margin balance, your position
is marked to market weekly, and the maintenance margin is 80% of the initial margin. What is the
greatest futures price 1 week from today at which you will receive a margin call?
Related Book For
Posted Date: