Suppose the S&P 500 index is currently 950 and the initial margin is 10%. You wish to
Question:
a. What is the notional value of your position? What is the margin?
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 S&P 500 index futures price 1 week from today at which you will receive a margin call?
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a The notional value of 10 contracts is 10 250 950 2375000 because each index point is worth 250 we ...View the full answer
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