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CMA Final · Strategic Financial Management · Forwards and Futures

A trader buys 2 Nifty futures contracts at 22,000 with lot size 50. Initial margin is Rs 1,10,000 in total. Over two days the futures settle at 21,900 and then 22,060. What is the trader's cumulative mark-to-market gain/(loss) after day 2 relative to the purchase price?

The cumulative result is a gain of Rs 6,000. With 100 units, the daily settlements are a loss of Rs 10,000 and a gain of Rs 16,000, netting Rs 6,000, which equals the 60-point rise from 22,000 to 22,060 times 100.

  1. AGain of Rs 6,000Correct
  2. BLoss of Rs 10,000
  3. CGain of Rs 16,000
  4. DGain of Rs 3,000

Explanation

Total units = 2 x 50 = 100. Day 1: (21,900-22,000) x 100 = -10,000. Day 2: (22,060-21,900) x 100 = +16,000. Net = +6,000, equal to (22,060-22,000) x 100. Rs 16,000 ignores day 1 loss.

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