Margin Calls

Assume you enter into 10 futures contracts every month starting 5 years ago (22th Aug 2017 to

19th Aug 2022) with the following trading rules:

i. You go long front crude oil

ii. At the close of the month (4 days prior 25th of each month) you take profit or loss (and

remove from margin account)

iii. At the begin of the next month (3 days prior 25th of each month) you take new positions

iv. The initial margin is 15% of the size of the position on the first day of the month

v. The maintenance margin is 10% of the size of the position on the first day of the month

vi. Anytime you have a margin call you must bring cash back to initial margin, and there is a

4% (annualized) cost based on the size of the margin call

What is the dollar profit to the strategy at the end of the time period? What is the total number of margin calls?

What is the dollar cost of the margin calls?

(Hint: dollar cost of each margin call = margin call amount * 4%/365)

Natural Gas Spot and Futures Prices (NYMEX) (Dollars per Million Btu) NYMEX Futures Prices (Crude Oil in Dollars per Barrel, All Others in Dollars per Gallon) Natural Gas Spot and Futures Prices (NYMEX) (Dollars per Million Btu) NYMEX Futures Prices (Crude Oil in Dollars per Barrel, All Others in Dollars per Gallon)