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Prior Day Estimate Open d Volume Interest Change Settle 5-Sep Month Open High Low Last Last Updated: Wednesday, 11 Sep 2019 04:00 PM 2938 2986

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Prior Day Estimate Open d Volume Interest Change Settle 5-Sep Month Open High Low Last Last Updated: Wednesday, 11 Sep 2019 04:00 PM 2938 2986 2986.50B 2937 2972.00A 2974.50A 33.9 34.8 33 33.5 . 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep- 20-Dec 21-Mar 21-Jun 21-Dec 22-Dec 23-Dec Total 33 About This Report 2972 3,257 36,776 29733 119 454 2974,4 0 0 2972.5 0 0 2972 O 0 2973.1 0 0 2973.4 0 0 2973.7 0 0 2974.3 0 0 2975.5 0 0 2976.6 0 0 3,376 37,260 Prior Day Estimate Open Settle d Volume Interest 33.1 33.1 33.1 33 Last Change 6-Sep Month Open High Low Last Updated: Wednesday, 11 Sep 2019 04:00 8.8 8.9 9.2 8.6 B.B 19-Sep 2979 2987.50B 2971.00A 2981.5 19-Dec- 2977.00B 2977.000 20 Mar 20-Jun - - 20-Sep 20-Dec 21-Mar 21 Jun 21-Dec 22-Dec 23-Dec Total 9-Sep Month Open High Low Last Last Updated: Wednesday, 11 Sep 2019 04:00 PM 8.6 8.6 8.6 8.6 About This Report 2980.0 977 35,308 2982.2 25 545 2983.6 0 0 2981.1 0 0 2980.8 0 0 2981.7 0 0 2982 0 2982.3 0 2982.9 0 0 2984.1 0 0 2985.3 0 0 1,002 35,854 Settle d Volume Open 8.6 8.7 Change -2.6 19-Sep 19-Dec 2984.7 2990-90B 2970.50A 29782 2974.5 298.50B 2974.5 2979.00A 20 Mar -2.4 -2.8 -2.2 20-Jun 20-Sep 20-Dec 21. Mar 21-Jun 21-Dec- 22-Dec 23-Dec Total 10-SepMonth Open High Low Last Updated: Wednesday, 11 Sep 2019 04:00 PM About This Report 2978.2 2,808 35,385 2979.8 232 532 2981.2 O 0 2978.3 0 0 2978.6 0 0 2978.9 0 0 2979.2 0 O 2979.5 0 0 2980.1 0 0 2981.3 0 0 2982.5 0 0 3,040 35,917 -2.8 2.8 -2.8 -2.8 -2.8 Change Settle d Volume Open Last Updated: Wednesday, 11 Sep 2019 04:00 PM 19-Sep 2972.8 2984.50B 2958.00A 2978.5 0.3 19-Dec 0.4 20 Mar 0.7 20-Jun . 2.2 20-Sep UNCH 20 Dec - . UNCH 21. Mar UNCH 21 Jun - UNCH 21-Dec UNCH 22 Dec - UNCH 23-Dec UNCH Total 11-Sep Month Open High Low Last Change Last Updated: Wednesday, 11 Sep 2019 04:00 PM About This Report 2978.5 2,127 35,580 2980.2 20 591 29819 O 0 2980.5 O 0 2978.6 0 0 2978.9 0 0 2979.2 0 2979.5 O 0 2980.1 0 0 2981.3 0 0 2982.5 0 O 2,147 36,171 Settle d Volume Open 23.5 23.5 About This Report 3002 2.424 35,706 3003.7 109 599 3005.4 0 0 3002.3 0 0 3002.4 O 0 23.5 21.8 23.8 23.8 0 0 0 23.8 O 19-Sep 2985.7 3004 2972.70A 2002.000 19-Dec 2983.5 3003 3003 20 Mar 20-Jun - 20-Sep - 20-Dec - - - 21 Mar 21-Jun 21-Dec 22-Dec 23-Dec Total 12-Sep Month Open High Low Last Last Updated: Tuesday, 17 Sep 2019 06:00 PM 0 0 3002.7 3003 3003.3 3003.9 3005.1 3006.3 0 0 0 0 23.8 0 0 2,533 36,305 Change Settle d Volume Open 3002.4 3019.3 3002.00A 30125 3010.5 3021.00B 3004 2013.500 10 10.2 12 About This Report 2011.8 3.107 37,024 3013.7 1,604 548 3015.6 0 0 3014.3 0 0 3012 0 0 30123 O 0 3012.6 0 0 3012.9 0 0 - 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep 20-Dec 21-Mar 21-Jun 21-Dec 22-Dec 23-Dec Total - - O 0 3013.5 3014,7 3015.9 0 0 0 4,711 0 37,572 Change Settle d Volume Open 13-Sep Month Open High Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM 3015.5 3017.50B 3006.50A 30085 3019,7 3025.3 3006.50A 3008.50B -5.1 4.7 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep 20 Dec 21-Mar- 21-Jun -1.8 4.6 4.6 4.6 About This Report 3006.4 4,701 37,567 3008.6 1,900 1,485 3010.9 0 0 3010.9 0 0 30102 0 0 2007.7 0 0 3008 O 0 30083 0 3008.9 0 0 2010.1 0 0 3011.3 0 0 6,601 39,155 Settle d Volume Open - 4.6 -4.6 21-Dec- 22 Dec 23-Dec Total 16-Sep Month Open High Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM Last Change -7.2 19-Sep 2995 3002.003 2992.00A 3000 19-Dec 2994.4 3005.1 2984.00A 2002.00A 20-Mar- 20-Jun 20-Sep- 20 Dec 21-Mar 21 Jun 21-Dec 22 Dec 23-Dec Total 17-Sep Month Open Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM - 10 -7.2 -7.2 -7.2 -7.2 -7.2 -7.2 About This Report 2999.1 9,267 36,055 3001.5 8,515 2,373 3003.7 0 0 3003.9 0 30002 0 0 3000.5 0 0 3000.8 0 0 3001.1 0 0 3001.7 0 0 3002.9 0 0 2004.1 0 0 17,782 38,441 Settle d Volume Open High Change 2994 3005.5 3006 2994 2006.SOA 3009 2994.50A 2007.30A 8.450 19-Sep 19-Dec 20-Mar- 20-Jun 20-Sep 20-Dec 21-Mar 21-Jun 21-Dec 22 Dec 23-Dec Total 6.3 6.4 5.7 2.7 6.7 6.7 6.7 6.7 6.7 6.7 6.7 About This Report 30054 6,340 33,219 3007.9 6,078 2010.4 0 0 3006.6 0 0 30000 0 0 30072 0 0 3007.5 0 0 3007.8 0 0 3008.4 0 0 3009.6 0 0 3010.8 0 0 12,418 41,677 High 3008 30126 d Volume 2,787 2,717 O Open 27,854 11.465 0 0 O O 0 Low Last Change 2981.004 3007.30A 0.9 2981 3008.30A 0.7 0.8 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.1 Settle 3005.3 3008.6 3011.2 3007.7 3003 3008.3 3008.6 3008.9 3009.5 3010.7 2011.9 O 0 0 0 O 0 0 0 0 0 5,504 39,319 d Volume 7.610 1,332 Open 27.619 13,158 0 0 0 O 0 0 18-Sep Month Open Sep 19 3000.5 Dec 19 30042 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Des 21 Dec 22 - Dec 23 Total Month Open 19-Sep Sep 19 3013.5 Dec 19 3003.3 Mar 20 - Jun 20 Sep 20. Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Month Open 20-Sep Dec 19 3010.5 Mar 20 3015 Jun 20 Sep 20 Dec 20 - Mar 21 Jun 21 Sep 21 Deo 21 Do 22 Dec 23 High Low Last Change Settle 3020.50B 3003.50A 3007.500 0.3 3005 3024.30B 299 1.70A 3008.5 -0.7 3007.9 -0.4 3010.8 0.2 3007.9 0.2 3008.2 0.2 3008.5 0.2 3008.8 0.2 3009.1 UNCH 3009.6 0.2 3009.7 0.2 3010,9 0.2 3012.1 0 0 0 0 0 0 0 0 0 0 0 0 8,942 40.77 d Volume Open 1,382 14,323 5 0 0 O 0 0 0 High Low Last Change Settle 3018.00B 298750A 2909.3 - 18.4 2989.5 3015 2997.002997.00A-18.7 2992.1 - 17.3 2990.6 - 18.1 2990.1 - 18.1 2990.4 - 18.1 2990.7 - 18.1 2991 -18.3 2991.3 -182 2991.5 -182 2992.7 -182 2993.9 0 0 0 0 0 0 0 0 0 0 0 0 0 Total High Low Last 3007 40B 2982.70A 2997.5 1,387 d Volume 1,445 14,323 Open 15,009 0 Change Settle 7.6 2997.1 7.2 2999.3 5.8 2995,4 6.6 29057 2997 2997.3 5 0 0 0 0 0 Month Open 23-Sep Deo 19 3003 Mar 20 Jun 20 - Sep 20 Des 20 - Mar 21 Jun 21 Sep 21 Dec 21 Dos 22 Dec 23 Total 0 0 2997.6 2997.9 0 0 0 0 6.7 6.7 6.7 2998.2 2999.4 3000.0 0 0 1,445 0 15,014 1.445 High 3012 Low Last 2969004 2970 d Volume 1,669 180 15,014 Open 15,709 5 O 0 O 0 O 0 Change Settle 26.9 2970,2 27.1 29722 28.5 2967.9 28.5 2958.2 28.5 2958.5 -285 2958.8 28.5 2969.1 285 2959.4 28.5 2969.7 28.5 2970.9 28.5 2972.1 O 0 0 0 0 0 0 0 0 0 0 High 3012 Low Last 2959.00A 29702 1,849 d Volume 1,669 15,714 Open 15,709 Total Month Open 24-Sep Dec 19 30074 Mar 20 Jun 20 - Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Month Open 24-Sep Dec 19 30074 Mar 20 - Jun 20 Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Tota Sep 26 Month Open Dec 19 2983 Mar 20 Jun 20 180 5 0 0 0 0 0 0 Change Settle 16.1 2986.3 14.1 2995.3 28.5 2957.9 -285 2963.2 285 2968.5 -285 2958.8 28.5 2999.1 28.5 2969.4 28.5 2969.7 28.5 2970.9 28.5 2972.1 O 0 0 O O 0 0 0 O 0 0 O 1,849 15,714 High Low Last 2994.50B 2964.50A 2981 Change Settlemated Volay Open I -5.8 2980.5 1,290 16,805 2982.7 0 56 2982.3 0 0 -6.3 2979.8 0 0 2980.1 0 0 2980.4 0 0 Sep 20 -6.3 O 0 2990.7 2981 0 Dec 20 Mar 21 Jun 21 Sep 21 Dag 21 Dec 22 Dec 23 Total 0 0 .6.2 0 2981.3 2982.4 2983.6 0 0 O 0 16,861 1,290 Sep 27 767 17,423 56 0 0 0 2963.8 2955.8 2955.4 2953.3 2953.6 2953,9 0 0 0 2992.40B 2947.00A 2963.50A -16.7 - 16.9 - 16.9 - 16.5 - 16.5 - 16.5 - 16.5 - 16.5 - 16.5 - 16.4 - 16.4 0 0 Dec 19 2973.3 Mar 20 - Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Des 23 Total O 0 2954.2 2954.5 O 0 29540 2955 0 0 2967.2 0 0 17479 767 Last High Low 2985.80B 2965.30A 2985.5 mated Voluay Open I 1,674 17,991 O 56 O 0 O 0 0 0 Change Settle 14.7 2978.5 14.8 2980.6 14.5 2979.9 16.4 2979.7 16.4 2980 16.4 2980.3 16.4 2980.6 16.4 2990.9 16.4 2981.2 16.4 2982.4 16.4 2983.6 O 0 O 0 O 0 O 0 O 0 O 0 Settle High Low 2993.70B 2937 Last 2938 1,674 18,047 mated Voluay Open 3,701 18.246 90 56 0 0 Change -40.7 41.5 41.7 40.5 -40.6 40.6 40.5 2937.8 2939.1 2938.2 2939.1 2939.4 2939.7 0 O 0 0 0 0 0 0 40.7 40.7 2940 29:40.2 2940.5 2941.7 2942.9 0 0 0 0 -40.7 -40.7 O O Sep 30 Month Open Dec 192974 Mar 20 Jun 20 Sep 20 Des 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Den 23 Total Oct 1 Month Open Dec 19 2991 Mar 20 Jun 20 Sep 20 - De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 2 Month Open Dec 19 2942 Mar 20 Jun 20 Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 2 Month Open Dec 19 2942 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Doo 22 Dec 23 Total High Low Last Change Settle 2948.40B 2874.50A 2880.000 -672 2880.6 -57.7 2881.4 -58.4 2879.8 -57.5 2881.6 -628 2875.6 -57.5 2882.2 -57.5 2882.5 -57.5 2882.7 3,791 18,302 mated Vollay Open I 4,709 19,581 O 100 0 0 0 0 O 0 0 0 O 0 0 2883 0 0 -57-5 -57.5 O 0 2884.2 2585.3 -57.6 High Low Last Change 2948.40B 2874.50A 2880.000 -672 -57.7 -58.4 -575 Settle 2880.6 2881.4 0 0 4,709 19.581 mated Volday Open Id 4,709 19,581 0 100 0 0 0 0 0 0 0 0 0 0 2879.8 2881.6 2875.6 2882.2 2882.5 -675 -67.5 -57.5 -57.5 2882.7 0 2883 -57.5 2884.2 -576 2885.3 0 4,709 19,581 High Low 2912.50B 2856 Last 2912 4,709 19,58! Settlemated Volay Open Id 2911.0 1,476 19,617 2912.1 0 35 Change 31.2 30.7 30.3 25.7 25.7 2910,1 O 0 O 0 O 0 0 2907.3 2902.3 2912.8 2913.1 2913.4 2913.7 2914.8 2916 30.6 30.6 30.7 30.7 30.6 30.7 0 0 0 O 0 O 0 0 0 1,476 19,703 High 2952.5 Total Oct 3 Month Open Dec 19 2888 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Deo 21 Den 22 Den 23 Total Oct 4 Month Open Dec 19 2907.7 Mar 20 Jun 20 Sep 20 Des 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 7 Month Open Dec 19 2929 Mar 20 - Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 - Deo 22 Dec 23 Total Oct Month Open Dec 19 2929 Mar 20 - Jun 20 - Sep 20 - Dop 20 Mar 21 Jun 21 Sep 21 Dec 21 Dop 22 Des 23 Total High Low Last Change Settlemated Volday Open la 2898.50A 2951.00A 39.2 2951 2,143 19,211 39.7 2951.8 0 36 39.6 2949.7 0 0 40.9 2948.2 O 0 41.1 2943.4 O 0 41.7 2954.5 O 0 41.7 2954.8 O 0 41.7 2955.1 0 0 41.7 2955.4 O 0 41.7 2956.5 O 0 41.7 2957.7 O 0 2,143 19,297 Low Last Change Settle mated VolJay Open Id 2928.50A 2938 2937.5 1,175 20.718 - 13.6 2938.2 0 35 - 13.1 2936.6 0 2935.2 0 0 - 11.5 2931.9 O 0 - 13.1 2941.4 0 0 - 13.1 2941.7 0 0 - 13.1 2942 0 0 - 13.1 2942.3 0 0 - 13 2943.5 0 0 -13.1 2944.6 0 0 1,175 20,804 Low Last Change Settlemated Voluay Open In 2928.50A 2938 2937.5 1,175 20,718 -13.6 2938.2 0 35 - 13.1 2935.6 0 0 2935.2 - 11.5 2931.9 0 0 -13.1 2941.4 0 - 13.1 2941.7 0 0 -13.1 2942 0 - 13.1 2942.3 0 0 2943.5 0 0 - 13.1 2944.6 0 0 1,175 20,804 High 2958 Daily Margin Calls (Your Position) Settlement Cumulative Margin Account Price Daily Gain Gain/losses Balance Trade Price Margin Call Days 09-05 09-05 09-06 09-09 09-10 09-11 09-12 09-13 09-16 09-17 09-18 09-19 09-20 09-23 09-24 09-25 09-26 09-27 09-30 10-01 10-02 10-03 Daily Margin Calls (Your counter party's position) Settlement Cummulative Margin Account Daily Gain Gain/losses Balance Trade Price Margin Call Days 09-05 09-05 09-06 09-09 09-10 09-11 09-12 09-13 09-16 09-17 09-18 09-19 09-20 09-23 09-24 09-25 09-26 09-27 09-30 10-01 10-02 10-03 Assume on Thursday, 9/5/2019, you sell one S&P 500 December 2019 futures contract at the price of $2,975. The initial margin is $35,000. You maintain your position every day through Thursday, 10/3/2019, and then close out the contract at the settlement price on Thursday, 10/3/2019. In the Sheet1 of the Excel file (the file can be found in the "Files" page), I provide you price information from 9/5 to 10/3. Please follow Table 2.1. 1. Construct the daily margin accounts for your position. Note: The maintenance margin is $31,500. 2. Construct the daily margin accounts for your counterparty's position. Day 1 Trade Settle Daily Cumul. Margin Margin Price ($) Price ($) Gain ($) Gain ($) Balance ($) Call ($) 1,650.00 12,000 1,641.00 -1,800 - 1,800 10,200 1,638.30 -540 -2,340 9,660 1 2. ..... ...... 6 1,636.20 -780 -2,760 9,240 7,980 7 1,629.90 -1,260 -4,020 4,020 8 1,630.80 180 -3,840 12,180 16 1,626.90 780 -4,620 15,180 Prior Day Estimate Open d Volume Interest Change Settle 5-Sep Month Open High Low Last Last Updated: Wednesday, 11 Sep 2019 04:00 PM 2938 2986 2986.50B 2937 2972.00A 2974.50A 33.9 34.8 33 33.5 . 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep- 20-Dec 21-Mar 21-Jun 21-Dec 22-Dec 23-Dec Total 33 About This Report 2972 3,257 36,776 29733 119 454 2974,4 0 0 2972.5 0 0 2972 O 0 2973.1 0 0 2973.4 0 0 2973.7 0 0 2974.3 0 0 2975.5 0 0 2976.6 0 0 3,376 37,260 Prior Day Estimate Open Settle d Volume Interest 33.1 33.1 33.1 33 Last Change 6-Sep Month Open High Low Last Updated: Wednesday, 11 Sep 2019 04:00 8.8 8.9 9.2 8.6 B.B 19-Sep 2979 2987.50B 2971.00A 2981.5 19-Dec- 2977.00B 2977.000 20 Mar 20-Jun - - 20-Sep 20-Dec 21-Mar 21 Jun 21-Dec 22-Dec 23-Dec Total 9-Sep Month Open High Low Last Last Updated: Wednesday, 11 Sep 2019 04:00 PM 8.6 8.6 8.6 8.6 About This Report 2980.0 977 35,308 2982.2 25 545 2983.6 0 0 2981.1 0 0 2980.8 0 0 2981.7 0 0 2982 0 2982.3 0 2982.9 0 0 2984.1 0 0 2985.3 0 0 1,002 35,854 Settle d Volume Open 8.6 8.7 Change -2.6 19-Sep 19-Dec 2984.7 2990-90B 2970.50A 29782 2974.5 298.50B 2974.5 2979.00A 20 Mar -2.4 -2.8 -2.2 20-Jun 20-Sep 20-Dec 21. Mar 21-Jun 21-Dec- 22-Dec 23-Dec Total 10-SepMonth Open High Low Last Updated: Wednesday, 11 Sep 2019 04:00 PM About This Report 2978.2 2,808 35,385 2979.8 232 532 2981.2 O 0 2978.3 0 0 2978.6 0 0 2978.9 0 0 2979.2 0 O 2979.5 0 0 2980.1 0 0 2981.3 0 0 2982.5 0 0 3,040 35,917 -2.8 2.8 -2.8 -2.8 -2.8 Change Settle d Volume Open Last Updated: Wednesday, 11 Sep 2019 04:00 PM 19-Sep 2972.8 2984.50B 2958.00A 2978.5 0.3 19-Dec 0.4 20 Mar 0.7 20-Jun . 2.2 20-Sep UNCH 20 Dec - . UNCH 21. Mar UNCH 21 Jun - UNCH 21-Dec UNCH 22 Dec - UNCH 23-Dec UNCH Total 11-Sep Month Open High Low Last Change Last Updated: Wednesday, 11 Sep 2019 04:00 PM About This Report 2978.5 2,127 35,580 2980.2 20 591 29819 O 0 2980.5 O 0 2978.6 0 0 2978.9 0 0 2979.2 0 2979.5 O 0 2980.1 0 0 2981.3 0 0 2982.5 0 O 2,147 36,171 Settle d Volume Open 23.5 23.5 About This Report 3002 2.424 35,706 3003.7 109 599 3005.4 0 0 3002.3 0 0 3002.4 O 0 23.5 21.8 23.8 23.8 0 0 0 23.8 O 19-Sep 2985.7 3004 2972.70A 2002.000 19-Dec 2983.5 3003 3003 20 Mar 20-Jun - 20-Sep - 20-Dec - - - 21 Mar 21-Jun 21-Dec 22-Dec 23-Dec Total 12-Sep Month Open High Low Last Last Updated: Tuesday, 17 Sep 2019 06:00 PM 0 0 3002.7 3003 3003.3 3003.9 3005.1 3006.3 0 0 0 0 23.8 0 0 2,533 36,305 Change Settle d Volume Open 3002.4 3019.3 3002.00A 30125 3010.5 3021.00B 3004 2013.500 10 10.2 12 About This Report 2011.8 3.107 37,024 3013.7 1,604 548 3015.6 0 0 3014.3 0 0 3012 0 0 30123 O 0 3012.6 0 0 3012.9 0 0 - 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep 20-Dec 21-Mar 21-Jun 21-Dec 22-Dec 23-Dec Total - - O 0 3013.5 3014,7 3015.9 0 0 0 4,711 0 37,572 Change Settle d Volume Open 13-Sep Month Open High Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM 3015.5 3017.50B 3006.50A 30085 3019,7 3025.3 3006.50A 3008.50B -5.1 4.7 19-Sep 19-Dec 20 Mar 20-Jun 20-Sep 20 Dec 21-Mar- 21-Jun -1.8 4.6 4.6 4.6 About This Report 3006.4 4,701 37,567 3008.6 1,900 1,485 3010.9 0 0 3010.9 0 0 30102 0 0 2007.7 0 0 3008 O 0 30083 0 3008.9 0 0 2010.1 0 0 3011.3 0 0 6,601 39,155 Settle d Volume Open - 4.6 -4.6 21-Dec- 22 Dec 23-Dec Total 16-Sep Month Open High Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM Last Change -7.2 19-Sep 2995 3002.003 2992.00A 3000 19-Dec 2994.4 3005.1 2984.00A 2002.00A 20-Mar- 20-Jun 20-Sep- 20 Dec 21-Mar 21 Jun 21-Dec 22 Dec 23-Dec Total 17-Sep Month Open Low Last Updated: Tuesday, 17 Sep 2019 06:00 PM - 10 -7.2 -7.2 -7.2 -7.2 -7.2 -7.2 About This Report 2999.1 9,267 36,055 3001.5 8,515 2,373 3003.7 0 0 3003.9 0 30002 0 0 3000.5 0 0 3000.8 0 0 3001.1 0 0 3001.7 0 0 3002.9 0 0 2004.1 0 0 17,782 38,441 Settle d Volume Open High Change 2994 3005.5 3006 2994 2006.SOA 3009 2994.50A 2007.30A 8.450 19-Sep 19-Dec 20-Mar- 20-Jun 20-Sep 20-Dec 21-Mar 21-Jun 21-Dec 22 Dec 23-Dec Total 6.3 6.4 5.7 2.7 6.7 6.7 6.7 6.7 6.7 6.7 6.7 About This Report 30054 6,340 33,219 3007.9 6,078 2010.4 0 0 3006.6 0 0 30000 0 0 30072 0 0 3007.5 0 0 3007.8 0 0 3008.4 0 0 3009.6 0 0 3010.8 0 0 12,418 41,677 High 3008 30126 d Volume 2,787 2,717 O Open 27,854 11.465 0 0 O O 0 Low Last Change 2981.004 3007.30A 0.9 2981 3008.30A 0.7 0.8 1.1 1.1 1.1 1.1 1.1 1.1 1.1 1.1 Settle 3005.3 3008.6 3011.2 3007.7 3003 3008.3 3008.6 3008.9 3009.5 3010.7 2011.9 O 0 0 0 O 0 0 0 0 0 5,504 39,319 d Volume 7.610 1,332 Open 27.619 13,158 0 0 0 O 0 0 18-Sep Month Open Sep 19 3000.5 Dec 19 30042 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Des 21 Dec 22 - Dec 23 Total Month Open 19-Sep Sep 19 3013.5 Dec 19 3003.3 Mar 20 - Jun 20 Sep 20. Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Month Open 20-Sep Dec 19 3010.5 Mar 20 3015 Jun 20 Sep 20 Dec 20 - Mar 21 Jun 21 Sep 21 Deo 21 Do 22 Dec 23 High Low Last Change Settle 3020.50B 3003.50A 3007.500 0.3 3005 3024.30B 299 1.70A 3008.5 -0.7 3007.9 -0.4 3010.8 0.2 3007.9 0.2 3008.2 0.2 3008.5 0.2 3008.8 0.2 3009.1 UNCH 3009.6 0.2 3009.7 0.2 3010,9 0.2 3012.1 0 0 0 0 0 0 0 0 0 0 0 0 8,942 40.77 d Volume Open 1,382 14,323 5 0 0 O 0 0 0 High Low Last Change Settle 3018.00B 298750A 2909.3 - 18.4 2989.5 3015 2997.002997.00A-18.7 2992.1 - 17.3 2990.6 - 18.1 2990.1 - 18.1 2990.4 - 18.1 2990.7 - 18.1 2991 -18.3 2991.3 -182 2991.5 -182 2992.7 -182 2993.9 0 0 0 0 0 0 0 0 0 0 0 0 0 Total High Low Last 3007 40B 2982.70A 2997.5 1,387 d Volume 1,445 14,323 Open 15,009 0 Change Settle 7.6 2997.1 7.2 2999.3 5.8 2995,4 6.6 29057 2997 2997.3 5 0 0 0 0 0 Month Open 23-Sep Deo 19 3003 Mar 20 Jun 20 - Sep 20 Des 20 - Mar 21 Jun 21 Sep 21 Dec 21 Dos 22 Dec 23 Total 0 0 2997.6 2997.9 0 0 0 0 6.7 6.7 6.7 2998.2 2999.4 3000.0 0 0 1,445 0 15,014 1.445 High 3012 Low Last 2969004 2970 d Volume 1,669 180 15,014 Open 15,709 5 O 0 O 0 O 0 Change Settle 26.9 2970,2 27.1 29722 28.5 2967.9 28.5 2958.2 28.5 2958.5 -285 2958.8 28.5 2969.1 285 2959.4 28.5 2969.7 28.5 2970.9 28.5 2972.1 O 0 0 0 0 0 0 0 0 0 0 High 3012 Low Last 2959.00A 29702 1,849 d Volume 1,669 15,714 Open 15,709 Total Month Open 24-Sep Dec 19 30074 Mar 20 Jun 20 - Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Month Open 24-Sep Dec 19 30074 Mar 20 - Jun 20 Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Tota Sep 26 Month Open Dec 19 2983 Mar 20 Jun 20 180 5 0 0 0 0 0 0 Change Settle 16.1 2986.3 14.1 2995.3 28.5 2957.9 -285 2963.2 285 2968.5 -285 2958.8 28.5 2999.1 28.5 2969.4 28.5 2969.7 28.5 2970.9 28.5 2972.1 O 0 0 O O 0 0 0 O 0 0 O 1,849 15,714 High Low Last 2994.50B 2964.50A 2981 Change Settlemated Volay Open I -5.8 2980.5 1,290 16,805 2982.7 0 56 2982.3 0 0 -6.3 2979.8 0 0 2980.1 0 0 2980.4 0 0 Sep 20 -6.3 O 0 2990.7 2981 0 Dec 20 Mar 21 Jun 21 Sep 21 Dag 21 Dec 22 Dec 23 Total 0 0 .6.2 0 2981.3 2982.4 2983.6 0 0 O 0 16,861 1,290 Sep 27 767 17,423 56 0 0 0 2963.8 2955.8 2955.4 2953.3 2953.6 2953,9 0 0 0 2992.40B 2947.00A 2963.50A -16.7 - 16.9 - 16.9 - 16.5 - 16.5 - 16.5 - 16.5 - 16.5 - 16.5 - 16.4 - 16.4 0 0 Dec 19 2973.3 Mar 20 - Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Des 23 Total O 0 2954.2 2954.5 O 0 29540 2955 0 0 2967.2 0 0 17479 767 Last High Low 2985.80B 2965.30A 2985.5 mated Voluay Open I 1,674 17,991 O 56 O 0 O 0 0 0 Change Settle 14.7 2978.5 14.8 2980.6 14.5 2979.9 16.4 2979.7 16.4 2980 16.4 2980.3 16.4 2980.6 16.4 2990.9 16.4 2981.2 16.4 2982.4 16.4 2983.6 O 0 O 0 O 0 O 0 O 0 O 0 Settle High Low 2993.70B 2937 Last 2938 1,674 18,047 mated Voluay Open 3,701 18.246 90 56 0 0 Change -40.7 41.5 41.7 40.5 -40.6 40.6 40.5 2937.8 2939.1 2938.2 2939.1 2939.4 2939.7 0 O 0 0 0 0 0 0 40.7 40.7 2940 29:40.2 2940.5 2941.7 2942.9 0 0 0 0 -40.7 -40.7 O O Sep 30 Month Open Dec 192974 Mar 20 Jun 20 Sep 20 Des 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Den 23 Total Oct 1 Month Open Dec 19 2991 Mar 20 Jun 20 Sep 20 - De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 2 Month Open Dec 19 2942 Mar 20 Jun 20 Sep 20 De 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 2 Month Open Dec 19 2942 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 Doo 22 Dec 23 Total High Low Last Change Settle 2948.40B 2874.50A 2880.000 -672 2880.6 -57.7 2881.4 -58.4 2879.8 -57.5 2881.6 -628 2875.6 -57.5 2882.2 -57.5 2882.5 -57.5 2882.7 3,791 18,302 mated Vollay Open I 4,709 19,581 O 100 0 0 0 0 O 0 0 0 O 0 0 2883 0 0 -57-5 -57.5 O 0 2884.2 2585.3 -57.6 High Low Last Change 2948.40B 2874.50A 2880.000 -672 -57.7 -58.4 -575 Settle 2880.6 2881.4 0 0 4,709 19.581 mated Volday Open Id 4,709 19,581 0 100 0 0 0 0 0 0 0 0 0 0 2879.8 2881.6 2875.6 2882.2 2882.5 -675 -67.5 -57.5 -57.5 2882.7 0 2883 -57.5 2884.2 -576 2885.3 0 4,709 19,581 High Low 2912.50B 2856 Last 2912 4,709 19,58! Settlemated Volay Open Id 2911.0 1,476 19,617 2912.1 0 35 Change 31.2 30.7 30.3 25.7 25.7 2910,1 O 0 O 0 O 0 0 2907.3 2902.3 2912.8 2913.1 2913.4 2913.7 2914.8 2916 30.6 30.6 30.7 30.7 30.6 30.7 0 0 0 O 0 O 0 0 0 1,476 19,703 High 2952.5 Total Oct 3 Month Open Dec 19 2888 Mar 20 Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Deo 21 Den 22 Den 23 Total Oct 4 Month Open Dec 19 2907.7 Mar 20 Jun 20 Sep 20 Des 20 Mar 21 Jun 21 Sep 21 Dec 21 Dec 22 Dec 23 Total Oct 7 Month Open Dec 19 2929 Mar 20 - Jun 20 Sep 20 Dec 20 Mar 21 Jun 21 Sep 21 Dec 21 - Deo 22 Dec 23 Total Oct Month Open Dec 19 2929 Mar 20 - Jun 20 - Sep 20 - Dop 20 Mar 21 Jun 21 Sep 21 Dec 21 Dop 22 Des 23 Total High Low Last Change Settlemated Volday Open la 2898.50A 2951.00A 39.2 2951 2,143 19,211 39.7 2951.8 0 36 39.6 2949.7 0 0 40.9 2948.2 O 0 41.1 2943.4 O 0 41.7 2954.5 O 0 41.7 2954.8 O 0 41.7 2955.1 0 0 41.7 2955.4 O 0 41.7 2956.5 O 0 41.7 2957.7 O 0 2,143 19,297 Low Last Change Settle mated VolJay Open Id 2928.50A 2938 2937.5 1,175 20.718 - 13.6 2938.2 0 35 - 13.1 2936.6 0 2935.2 0 0 - 11.5 2931.9 O 0 - 13.1 2941.4 0 0 - 13.1 2941.7 0 0 - 13.1 2942 0 0 - 13.1 2942.3 0 0 - 13 2943.5 0 0 -13.1 2944.6 0 0 1,175 20,804 Low Last Change Settlemated Voluay Open In 2928.50A 2938 2937.5 1,175 20,718 -13.6 2938.2 0 35 - 13.1 2935.6 0 0 2935.2 - 11.5 2931.9 0 0 -13.1 2941.4 0 - 13.1 2941.7 0 0 -13.1 2942 0 - 13.1 2942.3 0 0 2943.5 0 0 - 13.1 2944.6 0 0 1,175 20,804 High 2958 Daily Margin Calls (Your Position) Settlement Cumulative Margin Account Price Daily Gain Gain/losses Balance Trade Price Margin Call Days 09-05 09-05 09-06 09-09 09-10 09-11 09-12 09-13 09-16 09-17 09-18 09-19 09-20 09-23 09-24 09-25 09-26 09-27 09-30 10-01 10-02 10-03 Daily Margin Calls (Your counter party's position) Settlement Cummulative Margin Account Daily Gain Gain/losses Balance Trade Price Margin Call Days 09-05 09-05 09-06 09-09 09-10 09-11 09-12 09-13 09-16 09-17 09-18 09-19 09-20 09-23 09-24 09-25 09-26 09-27 09-30 10-01 10-02 10-03 Assume on Thursday, 9/5/2019, you sell one S&P 500 December 2019 futures contract at the price of $2,975. The initial margin is $35,000. You maintain your position every day through Thursday, 10/3/2019, and then close out the contract at the settlement price on Thursday, 10/3/2019. In the Sheet1 of the Excel file (the file can be found in the "Files" page), I provide you price information from 9/5 to 10/3. Please follow Table 2.1. 1. Construct the daily margin accounts for your position. Note: The maintenance margin is $31,500. 2. Construct the daily margin accounts for your counterparty's position. Day 1 Trade Settle Daily Cumul. Margin Margin Price ($) Price ($) Gain ($) Gain ($) Balance ($) Call ($) 1,650.00 12,000 1,641.00 -1,800 - 1,800 10,200 1,638.30 -540 -2,340 9,660 1 2. ..... ...... 6 1,636.20 -780 -2,760 9,240 7,980 7 1,629.90 -1,260 -4,020 4,020 8 1,630.80 180 -3,840 12,180 16 1,626.90 780 -4,620 15,180