Problem 2
On May 12th, 2015, a trader bought five AUD futures contracts on the Chicago Mercantile Exchange at a settlement price of 0.8050 (USD/AUD). The size of a contract is AUD 100,000.
(i) Calculate the USD value of the five contracts May 12th, 2015.
(ii) Assume that there is no daily price limit and no maintenance margin. Calculate the daily variation in the margin account from marking-to-market as the settlement price assumes the following values:
May 13th, 2015 0.8125 (USD/AUD)
May 14th, 2015 0.8175 (USD/AUD)
(iii) If the trader were to close the position on May 14th, 2015, what profit or loss would the
trader make on the AUD futures contracts?
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