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10. Joan is feeling bullish on large cap stocks, so she enters into the long position of 15 S&P 500 futures contracts with settlement date
10. Joan is feeling bullish on large cap stocks, so she enters into the long position of 15 S\&P 500 futures contracts with settlement date 6 months from today. The current futures price for one contract is 2,071 . She is required to set up an initial margin balance of 25% of the notional amount. In addition, there is a maintenance margin requirement throughout the 6 -month period, which is equal to 75% of the initial margin. The margin balance earns the risk-free rate, which is 5.2% per year compounded continuously. At the end of the first week, the futures price has decreased to X, and the margin balance at that time is 1,864,755.03. a. What is the amount of the maintenance margin? b. Determine X
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