Futures - Mark to Market Futures - Mark to Market Problem 2: On 29th April 2011 a speculator buys four July 2011 cocoa futures contracts on NYMEX at a price of US$3343 per metric ton. The speculator closes out her futures position on 27th May at a price of US$2975 per metric ton. The cocoa futures contract is written on 10 metric tons of cocoa and, for a speculator, the initial and maintenance margins are $2,970 and $2,700 per contract respectively. (a) At the time the futures position is established, what is the minimum price movement that will generate a margin call? (b) Complete the table in Sheet "Cocoa futures" to illustrate the daily marking-to-market (and final settlement) of the speculator's futures position. (c) What is the overall profit/loss of the speculator? Decompose the overall profit/loss into two components: (i) total margin calls, and (ii) the change in the margin account balance. Futures - Mark to Market Futures - Mark to Market Problem 3: On 1st July 2010 a speculator sells five September 2010 Hard Red Winter Wheat futures contracts on the Kansas City Board of Trade at a price of 497.50 cents per bushel. The speculator closes out her futures position on 30th July 2010 at a price of 665.75 cents per bushel. The futures contract is written on 5,000 bushels of wheat and, for a speculator, the initial and maintenance margins are $1,875 and $1,500 per contract respectively. (a) What is the minimum price movement that will generate a margin call? (b) Complete the table in Sheet "Wheat futures" to illustrate the daily marking-to-market (and final settlement) of the speculator's futures position. (c)What is the overall profit/loss of the speculator? Decompose the profit/loss into two components: (i) total margin calls, and (ii) the change in the margin account balance.