Today's settlement price on a Chicago Mercantile Exchange (CME) yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME yen contract is ¥12,500,000). If you have a long position in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to beGroup of answer choices$2,000.$1,675.$3,425$1,425.

Yesterday, you entered into a futures contract to buy €62,500 at $1.50/€. Your initial margin was $3,750 (= 0.04 × €62,500 × $1.50/€ = 4 percent of the contract value in dollars). Your maintenance margin is $2,000 (meaning that your broker leaves you alone until your account balance falls to $2,000). At what settle price (use 4 decimal places) do you get a margin call?Group of answer choices$1.500/€none of the options$1.5280/€$1.4720/€

Calculate how much a trader, who enters into a 90-day bank bill futures contract on 20 June with a quoted price of $94.00, will need to pay on settlement date (30 June) if the face value of the underlying bill is $500 000. A. $497 289 B. $499 179 C. $492 711 D. $500 000

A company enters into a long futures contract to buy 1,000 units of a commodity for $20 perunit. The initial margin is $6,000 and the maintenance margin is $4,000. What futures pricewill allow $2,000 to be withdrawn from the margin account?(5 marks)d) What is marking-to-market?(5 marks)e) Use the following data for gold and platinum futures (where prices are in dollars per troyounce and margin account balances do not earn any interest) to answer the questions thatfollow:Trading June Gold Futures April Platinum FuturesDate 100 troy oz. per contract 50 troy oz. per contractJan 20 1,594.50 1,874.50Jan 21 1,592.40 1,878.50Jan 22 1,597.70 1,883.10BE332-6-AU/3Suppose that you go short two contracts of April platinum futures on January 20 and longthree contracts of June gold on January 21. Then how much the value of your portfolio at theclosing of January 22 has changed by?(5 marks)(TOTAL: 25 MARKS)QUESTION TWOa) The basis strengthens unexpectedly. How does it affect the position of a short hedger?(5 marks)b) On March 1 the spot price of a commodity is $20 and the July futures price is $19. On June1 the spot price is $24 and the July futures price is $23.50. A company entered into a futurescontract on March 1 to hedge the purchase of the commodity on June 1. It closed out itsposition on June 1. What is the effective price paid by the company for the commodity?(5 marks)c) On March 1 the price of a commodity is $300 and the December futures price is $315. OnNovember 1 the price is $280 and the December futures price is $281. A producer enteredinto a December futures contracts on March 1 to hedge the sale of the commodity onNovember 1. It closed out its position on November 1. What is the effective price receivedby the producer?(5 marks)d) How many types of traders are there in a derivative security market and who are they?(5 marks)BE332-6-AU/4e) Suppose that the standard deviation of monthly changes in the price of commodity A is $2.The standard deviation of monthly changes in the futures price for a contract on commodityB (which is similar to commodity A) is $3. The correlation between the futures price and thecommodity price is 0.9. What hedge ratio should be used when hedging a one monthexposure to the price of commodity A?(5 marks)(TOTAL: 25 MARKS)END OF SECTION A

Answer Question 2 (12 marks) On 12 Jun 2023, a speculator buys five Nov 2023 US Soybeans futures contracts at a price of 1,369.50 cents per bushel. The speculator closes out her futures position on 10 Jul 2023 at a price of 1,320.00 cent per bushel. The US Soybeans futures contract is written on 5,000 bushels of soybeans and, for a speculator, the initial and maintenance margins are $3,375 and $2,500 per contract respectively. Assume that the speculator does not withdraw any excess out of their margin account. Data on the daily settlement price for the Nov 2023 US Soybeans futures contract during the period between 12 Jun and 10 Jul 2023 can be found in a spreadsheet titled US Soybeans Futures Prices.xlsx posted on Canvas. Required: (a) At the time the futures position is established, what is the minimum price movement that will generate a margin call? Report your answer in cents with 2 decimal places (2 dps). (2 marks) (b) Construct a table as below to illustrate the daily marking-to-market (and final settlement) of the speculator’s overall futures position. 3 Table Q2 Day Date Trade price (¢) Settlement price (¢) Daily gain ($) Cumulative gain ($) Margin account balance ($) Margin call ($) 1 1 2 3 … ... Note: the table is identical to Table 2.1 on page 30 of the prescribed textbook. (8 marks) (c) What is the overall profit/loss of the speculator? Decompose the overall profit/loss into two components: (i) total margin calls, and (ii) the change in the margin account balance. (2 marks) Q2 Data Day Date Trade Price (cents/bushel) Settlement or Futures Price (cents/bushel) Daily gain/loss ($) Cumulative gain/loss ($) Margin account balance ($) Margin call ($) 1 2023/6/12 1369.50 16875 1 2023/6/12 1,372.75 -812.50 -812.50 17,687.50 -812.50 2 2023/6/13 1,399.25 -6,625.00 -7,437.50 10,250.00 3 2023/6/14 1,388.25 2,750.00 4 2023/6/15 1,428.25 5 2023/6/16 1,466.50 6 2023/6/18 1,465.88 7 2023/6/20 1,477.25 8 2023/6/21 1,514.75 9 2023/6/22 1,500.50 10 2023/6/23 1,494.50 11 2023/6/26 1,424.50 12 2023/6/27 1,395.50 13 2023/6/28 1,361.00 14 2023/6/29 1,367.75 15 2023/6/30 1,442.00 16 2023/7/3 1,353.75 17 2023/7/5 1,355.00 18 2023/7/6 1,339.50 19 2023/7/7 1,317.75 20 2023/7/10 1320.00 1,343.50

A company enters into a short futures contract to sell 50,000 units of a commodity for 70 cents per unit. The initial margin is $4000 and the maintenance margin is $2000. What futures price will allow $2000 to be withdrawn from the margin account?? 78 cents 66 cents 74 cents 58 cents