Following is an example of daily settlement (marking to market) with a futures contract. Calculate the cash flow according to each action.

On June 10 (Monday), Wayne goes LONG one IMM yen futures contract at an opening price of $0.00812. The settlement prices for June 10, 11, and 12 are $0.00921, $0.00845, and $0.00887, respectively. On June 13, Wayne closes out the contract at a price of $0.00767. Initial and maintenance margin requirements for yen are $1,890 and $1,400, respectively.

Time Action Cash Flow

Monday morning Wayne buys one IMM yen futures that matures

in three days. Price is $0.00812 for Y12,500,000.

Monday close Futures price ups to $0.00921.

Position is marked-to market.

Tuesday close Futures price drops to $0.00845.

Position is marked-to-market.

Wednesday close Futures price rises to $0.00887.

Position is marked-to-market.

Thursday close Futures price drops to $0.00767.

1) Contract is marked-to-market

2) He closes out the contract.