At the end of day 0, you go short in 10 futures contracts; each contract is for a single unit of an underlying commodity with a futures settlement price at the end of day 0 of $250. This is the futures price for you at the end of day 0, therefore there is no marking to the market for you on that day. The initial margin is $9 per contract and the maintenance margin is $7. Over the following three trading days, this future has end-of-day settlement prices of $251 at t=1, $254 at t=2, and $253 at t=3. If there is a margin call during the three days, what is the variation margin, and on which day do you have to pay it?

		$40 on the morning of day 2
		$40 on the morning of day 3
		$30 on the morning of day 2
		$30 on the morning of day 3
		No margin call occurred

Answer rating: 100% (QA)

Answer is 40 on the morning of day 2 Value at t0 250 No of contracts 10 In... View the full answer