Suppose the underlying index is currently 950 and the initial margin is 10%. You wish
to enter into 10 futures contracts on the underlying index. The tick size of this futures contract is
0.25 index points. The multiplier on this futures contract is 250.
[a] What is the notional value of your position? What is the initial margin requirement in dollars?
[b] Suppose you earn a continuously compounded rate of 6% on your margin balance, your position
is marked to market weekly, and the maintenance margin is 80% of the initial margin. What is the
greatest futures price 1 week from today at which you will receive a margin call?