Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

The following question has to do with the Chicago SRW Wheat futures contract. Contract Size 5,000 bushels Price Quotation US Cents per bushel Minimum Price

The following question has to do with the Chicago SRW Wheat futures contract.

Contract Size 5,000 bushels
Price Quotation US Cents per bushel
Minimum Price Fluctuation 1/4 of one cent per bushel.
Settlement Method Deliverable
Maintenance Margin $2,000
Initial Margin $2,200

Note, a quotation of 43'2 means 43+2/8 cents per bushel.

On the first trade day, you go long 10 of the contract. The following table contains the trade prices, and the settlement prices for the 5 days you held the position. Determine the Daily PnL, the margin balance prior to any margin calls and any margin calls that take place. You never remove any excess cash from the account

Day Trade Price ($) Settle Price ($) Daily Gain ($) Margin Balance Before Call Margin Call Margin Balance After Call
1 548'6 0
1 545'0
2 549'4
3 548'6
4 553'0
5 541'4
5 544'2

What was the overall PnL for this trade?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Pricing And Hedging Financial Derivatives A Guide For Practitioners

Authors: Leonardo Marroni, Irene Perdomo

1st Edition

1119953715, 978-1119953715

More Books

Students also viewed these Finance questions

Question

What are the main differences between rigid and flexible pavements?

Answered: 1 week ago

Question

What is the purpose of a retaining wall, and how is it designed?

Answered: 1 week ago

Question

How do you determine the load-bearing capacity of a soil?

Answered: 1 week ago

Question

what is Edward Lemieux effect / Anomeric effect ?

Answered: 1 week ago