Trading in the SPI200 futures contract

On Thursday 25 March 2021, you will be notified that your company has a reasonably broadly based portfolio of Australian shares valued on that date at $40,587,239. You will be required to seek protect the value of that portfolio as the company intends to liquidate the portfolio on or about 17 May 2021. You will seek to do this by entering into a number of June 2021 SPI200 futures contracts as either a buyer or a seller.

On Thursday 6 May 2021, you will be notified that the portfolio of shares has been sold for $45,987,431. The increase in the value of the portfolio was largely due the fact that it was not as broadly based as you had been told, and two companies that formed a large part of the portfolio had been subject to takeover offers during the period.

You must now on Thursday 6 May 2021 close out your position and do so at the settlement price of the June 2021 SPI200 futures contract.

report the profit or loss that you made and explain why this occurred.