CFA Level I · CFA Level I Exam · Forward Commitment and Contingent Claim Features and Instruments
A long futures position is opened at 80.00 per unit for a contract of 500 units. Settlement prices on the next two days are 78.00 and 79.50. Ignoring interest, the cumulative margin account change for the long after the second day is closest to:
The cumulative margin change is a loss of about 250. Day one loses 1,000 as the price falls from 80 to 78, and day two gains 750 as it rises to 79.50. Together this equals the total price move of negative 0.50 times 500 units.
- A-250Correct
- B+750
- C-1,000
Explanation
Day 1: (78 - 80) x 500 = -1,000. Day 2: (79.5 - 78) x 500 = +750. Cumulative = -250, which equals (79.5 - 80) x 500. The -1,000 option ignores the second day; +750 ignores the first day. Options in ascending order would be -1,000, -250, +750.
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