1.

Use the following data and prepare the margin

a/c for investors for both long and short position.
Assume that if margin call is made at any time,
the investor would deposit the amt called for.

contract size = 100 quintals

price = Rs. 600/quintal

initial margin = Rs. 6000

maintenance margin = Rs. 4500

Trading Futures Trading Futures
day price day price
Sept 2 598.20 16 570.10
Sept 3 593.60 17 568.50
Sept 4 594 18 569.80
Sept 5 589.50 19 573.80
Sept 6 584.80 20 573.60
Sept 9 582.20 23 577.30
Sept 10 583.70 24 576.30
11 577.30 25 578.80
12 577.10 26 578
Solution : - long position
Trading Futures Daily Cumulativ Margin a/c Margin
day price gain/loss e gain/loss balance call
Sept 2 598.20 (-1.8 * 100) (180) 5820 -
-180
Sept 3 593.60 (-4.6 * 100) (640) 5360 -
-460
Sept 4 594 (0.4 * 100) (600) 5400 -
40
Sept 5 589.50 -450 (1050) 4950 -
Sept 6 584.80 -470 (1520) 4480 1520
Sept 9 582.20 -260 (1780) 5740 -
Sept 10 583.70 150 (1630) 5890 -
11 577.30 -640 (2270) 5250 -
12 577.10 -20 (2290) 5230 -
Trading Futures Daily Cumulati Margin Margin
day price gain/loss ve a/c call
gain/loss balance

16 570.10 -230 (2990) 4530 -

17 568.50 -160 (3150) 4370 1630
18 569.80 130 (3020) 6130 -
19 573.80 410 (2610) 6540 -
20 573.60 -30 (2640) 6510 -
23 577.30 370 (2270) 6880 -
24 576.30 -100 (2370) 6780 -
25 578.80 250 (2120) 7030 -
26 578 -80 (2200) 6950 -
27 584.2 620 (1580) 7570 -
Solution : - short position
Trading Futures Daily Cumulative Margin a/c Margin call
day price gain/loss gain/loss balance
Sept 2 598.20 (1.8 * 100) 180 6180 -
180
Sept 3 593.60 (4.6 * 100) 640 6640 -
460
Sept 4 594 (-0.4 * 100) 600 6600 -
-40
Sept 5 589.50 450 1050 7050 -
Sept 6 584.80 470 1520 7520 -
Sept 9 582.20 260 1780 7780 -
Sept 10 583.70 -150 1630 7630 -
11 577.30 640 2270 8270 -
12 577.10 20 2290 8290 -
13 572.40 470 2760 8760 -
Trading Futures Daily Cumulativ Margin Margin
day price gain/loss e gain/loss a/c call
balance
16 570.10 230 2990 8990 -
17 568.50 160 3150 9150 -
18 569.80 -130 3020 9020 -
19 573.80 -410 2610 8610 -
20 573.60 30 2640 8640 -
23 577.30 -370 2270 8270 -
24 576.30 100 2370 8370 -
25 578.80 -250 2120 8120 -
26 578 80 2200 8200 -
27 584.2 -620 1580 7580 -
June-July 04
2. Use the following data and prepare the margin
a/c for investors for short position. Assume
that if margin call is made at any time, the
investor would deposit the amt called for.
contract size = 500 units
price = Rs. 25/unit
initial margin = 12%
maintenance margin = 3/4th of initial margin
no. of contracts = 10
contract date = 11th june
Tradin Futures
g day price
2 25.50
3 24.30
4 26.50
5 25.10
6 25.75
Total contract value
500 * 10 * 25 = Rs. 1,25,000

Initial margin
(125000) * 12%
= Rs. 15,000

Maintenance margin
(15000) * 3/4
= Rs. 11250
Trading Futures Daily gain/loss Cumulative Margin Margin
day price gain/loss a/c call
balance
2 25.50 (-0.5 * 500 * 10) (2500) 12500 -
-2500

3 24.30 (1.2 * 500 * 10) 3500 18500 -

6000

4 26.50 (-2.2 * 500 * 10) (7500) 7500 7500

-11000

5 25.10 7000 (500) 22000 -

6 25.75 -3250 (3750) 18750 -

Dec 06
3. The settlement prices of sensex futures
contract on a particular day was Rs. 4600.
Initial margin is set at Rs. 10000 while
maintenance margin is Rs. 8000. multiplier of
each contract is 50. the settlement prices of
the next few days are as follows:

Trading Price
day
1 4700
2 4500
3 4650
4 4750
5 4700
Prepare a marginal a/c :
 On an investor who has gone long at Rs.4600
 On an investor who has gone short at Rs.4600
 Calculate net profit or loss on each day of
the account.
Position : short

Tradin Price Daily Cumulative Margin Margin

g day gain/loss gain/loss a/c bal call

1 4700 -5000 (5000) 5000 5000

2 4500 10000 5000 20000 -

3 4650 -7500 (2500) 12500 -

4 4750 -5000 (7500) 7500 2500

5 4700 2500 (5000) 12500 -

Net loss Rs 5000

Position : long

Tradin Price Daily Cumulative Margin Margin

g day gain/loss gain/loss a/c bal call

1 4700 5000 5000 15000 -

2 4500 -10000 (5000) 5000 5000

3 4650 7500 2500 17500 -

4 4750 5000 7500 22500 -

5 4700 -2500 5000 20000 -

Net profit Rs 5000

4. A futures contract is available for petrol at
$28/barrel. Each contract is for 100000
barrels. You have contracted for 8 long
barrels. Contract is on 15/06/09 and expires
on 30/06/09. Initial margin is 10% of contract
value and maintenance margin is 75% of
initial margin. Prepare a statement of
marking to market.
Trading Futures Trading Futures
day price day price
15 28 23 26.45
16 28.50 24 26.10
17 31.50 25 26.70
18 33.00 26 25.95
19 29.00 27 25.45
20 28.25 28 25.15
21 27.55 29 25.75
22 26.50 30 24.90
Total contract value
28 * 100000 * 8 = $22400000

Initial margin
(22400000) * 10%
= $2240000

Maintenance margin
(2240000) * 75%
= $1680000
Tradin Futures Daily Cumulativ Margin a/c Margin
g day price gain/loss e gain/loss balance call

15 28 - - 22.4 -

16 28.50 4 4 26.4 -

17 31.50 24 28 50.4 -

18 33.00 12 40 38.4 -

19 29.00 -32 8 6.4 16

20 28.25 -6 2 16.4 6

21 27.55 -5.6 (3.6) 16.8 -

22 26.50 -8.4 (12) 8.4 14

Trading Futures Daily Cumulative Margin a/c Margin
day price gain/loss gain/loss balance call

23 26.45 -0.4 (12.4) 22 -

24 26.10 -2.8 (15.2) 19.2 -
25 26.70 4.8 (10.4) 24 -
26 25.95 -6 (16.4) 18 -
27 25.45 -4 (20.4) 14 8.4
28 25.15 -2.4 (22.8) 20 -
29 25.75 4.8 (18) 24.8 -
30 24.90 -6.8 (24.8) 18 -