CFA Level I · CFA Level I Exam · Derivative Instrument and Derivative Market Features
A trader holds a long futures position of 100 units opened at a price of 50. Settlement prices are 52 on day 1 and 49 on day 2. Ignoring interest and fees, the cumulative margin account change over the two days is closest to:
The cumulative change is -100. Day 1 gives a gain of 200 as the price rises from 50 to 52, and day 2 gives a loss of 300 as it falls to 49. The sum equals the total price change of -1 multiplied by 100 units.
- A-100Correct
- B+100
- C+300
Explanation
Day 1 gain: (52-50)x100 = +200. Day 2 change: (49-52)x100 = -300. Cumulative = 200 - 300 = -100, which equals (49-50)x100. A distractor of +300 ignores the sign and day-two loss, and +100 reverses the sign.
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