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The table below lists the settlement prices for the November 2019 expiry Bitcoin futures traded at the CME group. The contract size is 5 bitcoins
The table below lists the settlement prices for the November 2019 expiry Bitcoin futures traded at the CME group. The contract size is 5 bitcoins per contract. The initial and maintenance margins forone contract are $3107.5and $2825, respectively. Date Settlement Daily Margin Margin ($) Gain/Loss Balance Call ($) ($) ($) 20 October 2302.5 2019 21 October 2272.5 2019 22 October 2267.5 2019 23 October 2065.0 2019 24 October 1925.0 2019 The trading book with long 10 bitcoins futures contracts started on the 20th October 2019 and closed out on the 24th October 2019. (Hint: daily settlement is $/bitcoin; daily gain/loss, margin balance and margin call need to consider all the positions) i) Calculate the daily gain/loss. ii) Calculate the margin balance. iii) Calculate the margin call
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