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Download ICE Europe Brent Crude Electronic Energy Futures prices for the period over the last two years into Excel format. Using these data, answer the
Download ICE Europe Brent Crude Electronic Energy Futures prices for the period over the last two years into Excel format. Using these data, answer the following questions:
- Suppose that an exchange wants to set the margin requirement for a member with a short position in one contract so that it is standard deviation of daily price changes times 2.5 the standard contract size. Calculate the amount of the initial margin. Next, using reasonable requirements for the maintenance margin (you need to do a research on the current requirements, pick a number you will use and provide some motivation behind your choice), calculate daily margin balance.
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