2. On August 6, you go long one IMM yen futures contract at an opening price of $0.00815 with a performance bond of $4,780 and a maintenance performance bond of $3,600. The settlement prices for August 6, 7, and 8 are $0.00793, $0.00855, and $0.00898, respectively. On August 9, you close out the contract at a price of $0.00852. Your round-trip commission is $33.24. a. Calculate the daily cash flows on your account. Be sure to take into account your required performance bond and any performance bond calls b. What is your cash balance with your broker on the morning of August 10?
Suppose the contract size is € 125,000
Now we will calculate daily cash flow as under
| Time | Action | Cash Flow on Contract | |
| August 6 Morning | Buy one CME yen futures contract. Price is $0.00815 |
Margin of $4,780 | |
| August 6 close | Futures price falls to $0.00791 Contract is marked-to-market |
You pay out 12,500,000 x (0.00815 – 0.00793) = -$2,750 |
-2750 |
| August 7 close | Futures price falls to $0.00791 Contract is marked-to-market |
You pay out 12,500,000 x (0.00855 – 0.00793) = +$7750 |
7750 |
| August 8 close | Futures price falls to $0.00791 Contract is marked-to-market |
You pay out 12,500,000 x (0.00898 – 0.00855) = +$2,750 |
5375 |
| August 9close | Futures price falls to $0.00857 (1) Contract is marked-to-market (2) You close out the contract |
You pay out 12,500,000 x (0.00857 – 0.00898) = -$2,750 2) None You pay out a round-trip commission 33.24 |
-5125 |
| 33.24 | |||
| Net gain on the futures contract | 5283.24 |
Your margin calls and cash balances as of the close of each day were as follows:
August 6 With a loss of $2,750, your account balance falls to $2,030 ($4,780 -$2,750). You must add $2,750 ($4,780 – $1,2030) to your account to restore it to the initial margin of $4,780.
With subsequent gains on the futures contract, you have no further margin / performance bond calls.
