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?

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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?

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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.

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