On a certain Friday in December at 1.30 PM, a currency trader takes a long position in ten British Pound futures contracts traded on the CME. Each contract size is 62,500. The price at the time of assuming the position on Friday at 1:30 PM is $1.5450/. When market coses on Friday, the price settles is $1.5400/. On subsequent days, the futures prices settle, respectively, at $1.5325/ (Monday), $1.5255/ (Tuesday), and $1.5555/ (Wednesday, also this is the third Wednesday in December). On Friday, the total number of contracts held long or short in the market is 8788.

a. What is the effective contractual price ?

b. By how much the investors margin account will change each day due to marking-to-market? Indicate the total dollar amount increase by a (+) sign and a decrease by a () sign.

Friday:

Monday:

Tuesday:

Wednesday:

c. If another trader had a short position of the above 10 British Pound futures maturing in December, by how much his/her margin account will change at Monday settle and at Tuesday settle, respectively?

Monday (Short 10 Futures):

Tuesday (Short 10 Futures):

d. What should be the spot exchange rate on Wednesday settle, when the futures expire?

e. If the total number of contracts held long or short in the market is 8788, what is the open interest?