Submitted by: Submitted by alphanoodle
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Words: 504
Pages: 3
Category: Business and Industry
Date Submitted: 04/07/2014 09:38 AM
1. We incurred a loss after reversing all the trades. Our initial cash was $1,000,000 and our ending cash was $889,137.74 which is a loss of $110,862.26.
2. For the specific contract of E Mini S&P 500 December 2014, we initially bought $464,250 which came out of the initial million. We chose this contract as it matched with our beta value of the portfolio. When we reversed the trades at the end of the 19 day period, we only received $300,117.4 which is an incurred loss of $164,132.7.
The specific cash flows that occurred with the December futures are in: Table 1 (appendix)
3. According to table 1 (assuming 4% maintenance margin):
The first margin transaction call was at 3/13/14: we lost $102532.5
Up until then, we were credited $4749.99, which implies we have $464,250 + $4749.99 = $468,999.99. We lost $102532.5 so:
x+102532.5468999.99=0.96
x= 347707.4904
So on 3/13/14, we lost 468999.99-347707.4904=121292.50 to maintain the maintenance margin of 4%.
After this day, we were only credited small amounts of cash for the margin, however because of the large loss we never made a profit and still made a loss on this contract.
Appendix:
Table 1
As of 4/2/2014 | Time | Currency | Action | Price | Amount |
3/6/2014 | 10:19:05 AM | US Dollar | FuturesMargin E Mini S&P 500 December 2014 | 92850 | -464250 |
3/6/2014 | 10:19:05 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 92900 | 4749.993 |
3/6/2014 | 10:35:20 AM | US Dollar | FuturesMargin E Mini S&P 500 December 2014 | 92787.5 | 116125 |
3/13/2014 | 5:22:12 PM | US Dollar | CashChangeMarginCall E Mini S&P 500 December 2014 | 91500 | -102532.5 |
3/14/2014 | 3:33:46 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/15/2014 | 3:33:43 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/16/2014 | 3:33:51 AM | US Dollar | CashChangeMarginCredit E Mini...