12. Suppose the S&P 500 index is currently 950 and the initial margin is 10%. You wish...
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12. Suppose the S&P 500 index is currently 950 and the initial margin is 10%. You wish to enter into 10 S&P 500 futures contracts.
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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Related Book For
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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