Application:
Consider the following information about the CMX gold futures contract:
-Contract size: 100 troy oz.
-Initial margin: $5500 per contract, Maintenance margin: $4000 per contract
-Minimum tick size: 10 cents/troy ounce ($10/contract)
Today is July 6. There are four traders (A, B, C, D) in the market when next year's June contract commences trading.
. ChapterZ I page 7 . Application: Consider the following information about the CMX gold futures contract: 7 Contract size: 100 troy oz. Initial margin: $5500 per contract. Maintenance margin. $4000 percontract 7 Minimum tick size 10 cents/troy % ($101contract) Today is July 6. There are four traders (A, B, C, D) In the market when next year's June contract commences trading. 1) Complete the following table showing the open interest for the contractduring July 68' Datae Buyer Seller Contracts Price Open Interest July 6 A B 5 $1620.00 July 6 C B 10 $1610.00 July 6 Settlement PrIce $1610.00 July 7 D A 10 $1602.00 July 7 B D 5 $1606.00 July 7 Settlement Price $1606.00 July 8 B A 7 $1595.00 July 8 Settlement Price $1612.00 2) Calculate the gains and losses for Trader A. Assume that at the time of each change in position, TraderA must bring the margin back to the initial amount. Also, if the margin account balance falls below the maintenance margin, trader A must bring the margin back to the Initial amount. Compute the amount in Trader A's margIn account at the end ofeach trading day. Will trader Aget a margin call? If so, when, and how much additional margin must be posted? . ChaplerZ 1 page II. Application (contadJ 1] Open Interest Trade A B c D Others Open Interest: 1 +5 5 0 5 2 +5 1 5 +10 15 3 4 5 2] Gainsllosses for trader A Margin Account (3) Net Price Gainllnss Position Variation Position Date position "0:. in 8 before margin after trader A variation variation July 5 +5 1620 0 27,500 21500 My 5 161 D settlement My 7 1602 My 7 1606 settlement My 8 1595 July 3 1612 settlement Total Assignment 1 t Chapter 2, solution to problem on p. TB in the handouts - Based on the solution in the handouts: 9 Turn in a detailed solution for Trader B, si_m_i_|_a_r__t_q the one for "Trader A" in the handouts. (This means: Replace "TraderA" by "Trader B" in the problem description on p. 7, part 2, and create a detailed solution matrix) Project assignment: - Create a one-page excel spreadsheet containing the solutions to the assignment. Be careful that a print-out by the instructor will look in the same way as you would turn it in as a hardcopy (i.e. professionally looking, no "margin-overows", no non-labelled columns, clear titles, name of studenclassr'semester, etc. whole assignment on 1 page, etc.). 1596-2058 of the grade will be based on how professional the assignment looks
