Question
On April 22, 2020 you observed the following S&P/TSX index futures quotes: S&P/TSX 60 index futures: April 22, 2020. ( multiplier M = $100 )
- On April 22, 2020 you observed the following S&P/TSX index futures quotes:
S&P/TSX 60 index futures: April 22, 2020.
( multiplier M = $100 )
Spot index value 1850
June futures contract 1820
September futures contract 1805
December futures contract 1785
- Suppose on April 22, 2020 (Day 1), you sold one June futures contract for 1820. Your brokerage firm has set the initial margin requirement (IMR) to $5000 and the maintenance margin requirement (MMR) to $2500. Complete the following table by marking to the market your account with the brokerage firm for the next 10 trading days:
| DAY | FUTURES PRICE | GAIN/LOSS | CUMULATIVE GAIN/LOSS | MARGIN ACCOUNT | MARGIN DEPOSIT |
| 1 | 1820 | 0 | 0 | 5000 | 5000
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| 2 | 1830 |
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| 3 | 1850 |
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| 4 | 1865 |
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| 5 | 1845 |
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| 6 | 1825 |
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| 7 | 1805 |
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| 8 | 1800 |
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| 9 | 1780 |
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| 10 | 1790 |
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| 11 | 1770 |
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