FIN $471-$ Spring $2024$

Question $1$

Michael Devito

Suppose that on $01-$Feb$-2024,$ a financial manager takes a long position in $500$ Oil Future contracts that expire in June$-2024$ at a future price of $$92\mathrm{.}00$ per barrel. Each Oil Future contract calls for the delivery of $1,000$ barrels. The initial Margin and Maintenance margins are $12\%$ and $5\%$ of the initial face value of the contract, respectively, based on the number of contracts, the number of underlying assets per contract, and the future price on the settlement date $(5001,000$$$92\mathrm{.}00).$ A con tract $=1,000$ barrels

The manager holds the contract for $10$ business days and needs to calculate their margin account balance for each day based on the provided daily prices for the respective Oil Future contract per barrel. Additionally, determine whether a Margin Call has occurred and, if so$,$ calculate the value that the manager needs to deposit.

$\backslash$table$[[$Initial Margin,$],[$Maintenance Margin,$]]$

$\backslash$table$[[$Day$,\backslash$table$[[$Future Price$/$ per$],[$Underlying Asset$]],$Change in Price,Total Gain$/$Loss$,\backslash$table$[[$Margin Acc.$],[$Balance$]],\backslash$table$[[$Margin Call? Yes$],[$or No$]]],[$Contract Opening,$$,92\mathrm{.}00,\backslash$table$[[$Amount to be$],[$deposited$.]],,],[$D$+1,$$$,90\mathrm{.}00,2,00,,,],[$D$+2,$$$,88\mathrm{.}00,2,00,,,],[$D$+4,$$$,87\mathrm{.}00,1,00,,,],[$D$+5,$$$,85\mathrm{.}00,2,00,,,],[$D$+6,$$$,84\mathrm{.}00,1,00,,,],[$D$+7,$$$,83\mathrm{.}00,1,00,,,],[$D$+8,$$$,82\mathrm{.}00,1,00,,,],[$D$+9,$$$,80\mathrm{.}00,2,0,,,],[$D$+10,$$$,80\mathrm{.}00,-,,,]]$

What is the profit or loss of the manager's future contract position in Oil?