Marking-to-Market 3. [25 marks] The table below show the settlement price information for the November expiry VIX futures traded at the CBOE (Chicago Board of Option Exchange). VIX is the volatility index of the S&P 500. The contract multiplier for each VIX futures contract is $1000. The initial and Trade Date Settlement Margin Gain/Loss Margin Call 10 September 2015 23.025 11 September 2015 22.725 14 September 2015 22.675 15 September 2015 20.65 16 September 2015 19.25 maintenance margins for the November expiry contract are $6,215 and $5,650 respectively. For one long futures contract initiated on 10th September 2015 and closed out on 16th September 2015: a) Calculate the daily gain (or loss). Calculate the daily margin call. Please answer using the table format above, and show your detailed workings. b) If the VIX futures contract in part a) above was traded at the same price as an over-the-counter forward contract instead, list all the relevant cash flows from contract initialization on 10th September 2015 till the contract mature and closed out on 16th September 2015. Marking-to-Market 3. [25 marks] The table below show the settlement price information for the November expiry VIX futures traded at the CBOE (Chicago Board of Option Exchange). VIX is the volatility index of the S&P 500. The contract multiplier for each VIX futures contract is $1000. The initial and Trade Date Settlement Margin Gain/Loss Margin Call 10 September 2015 23.025 11 September 2015 22.725 14 September 2015 22.675 15 September 2015 20.65 16 September 2015 19.25 maintenance margins for the November expiry contract are $6,215 and $5,650 respectively. For one long futures contract initiated on 10th September 2015 and closed out on 16th September 2015: a) Calculate the daily gain (or loss). Calculate the daily margin call. Please answer using the table format above, and show your detailed workings. b) If the VIX futures contract in part a) above was traded at the same price as an over-the-counter forward contract instead, list all the relevant cash flows from contract initialization on 10th September 2015 till the contract mature and closed out on 16th September 2015