yy · 2022年07月12日
An investor takes a long position of 20 futures contracts, suppose the initial
margin=$5/contract, maintenance margin=$2/contract. The futures price changes in
the following days as follows：
Day Futures price
0 82
1 84
2 80
3 78
On which day the investor will receive a margin call and how much variation margin he
should post?
A. Day 2; variation margin is $40.
B. Day 3; variation margin is $40.
C. Day 3; variation margin is $80.
Lucky_品职助教 · 2022年07月13日
嗨，从没放弃的小努力你好：
If the margin balance in the trader's account falls below the maintenance margin, the trader will get a margin call. When get the margin call, the investor should bring the margin balance back up to the initial margin level, which is also called variation margin.
In this example, the initial margin is $100 and the maintenance margin is $40. As shown in the table below, it is only on the third day that the margin level falls below the maintenance margin level $40, and the margin needs to be replenished to the initial margin level.
中文解析：20个合约，期初保证金是5/合约，维持保证金是2/每合约，由此我们可以算出期初保证金是100，维持保证金是40，下面的表格列出了价格变动时合约价格的变化，可以看出在第3天，ending balance跌到了维持保证金40以下，这时候就会有margin call 。所以答案是C
----------------------------------------------努力的时光都是限量版，加油！
