Ginny's Restaurant
Autor: algara9 • February 22, 2018 • Case Study • 670 Words (3 Pages) • 323 Views
2.1
Future 1 | Future 2 | Future 3 | Future 4 | Future 5 | |
Asset | Currency USD/CHF | iShares SMI | Shares (EURO STOXX 50) | Interest Rate (EURIBOR) | Swaps |
Exchange | Eurex | Eurex | Eurex | Eurex | Eurex |
Contract size | 10,000$ | 1,000 shares | Eur 1 per variance Futures point | - | 100,000 EUR |
Delivery periods | Up to 36 months | 3 months | Quarterly | 3 months | 2 years |
Price Quote | USD/CHF | CHF | 0.0001 EUR (Vega) | Euro | [100% + (market value of the deliverable interest rate swap/nominal value)] * 100 |
Price Limits | - | - | - | - | - |
Position Limits | - | - | - | - | - |
2.2
Trading volume refers to the quantity either sold or bought each day in the market, i.e. not adding up both the sales and purchases of contracts. On the other hand, Open interest refers to the outstanding number of contracts to be closed in the market.
2.3
We have 100 contracts whose value is 50,000. The daily gain is 200$ (because the price increased to 50,200) per contract being a total gain of 20,000. The next day we enter into 20 new contracts of 51,000 per contract with an initial margin of 2,000 each total 40,000. As the settlement price is 50,200 we face a loss of 800$ in each of the new contracts we opened, so we have a total loss of 20 x 800$ = 16,000$. To sum up, we have profits of 20,000 $ due to the first 100 contracts and losses of 16,000 because of the last 20 contracts the total profits are 4,000$. We don’t need to put a margin of 40,000 because we have profits of 4,000, so we would need to put a margin of 40,000 – 4,000 =36,000$
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