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Contract Size (ounces) |
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100 |
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Contracts (number) |
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2 |
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Ounces under contract |
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200 |
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Initial futures price |
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$600 |
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Margin |
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|
Per |
Total |
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Initial margin |
|
|
$2,000 |
$4,000 |
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|
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Maintenance margin |
|
|
$1,500 |
$3,000 |
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|
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Daily |
Cum'l |
Margin |
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| |
|
Futures |
gain |
gain |
Account |
Margin |
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|
Price |
(loss) |
(loss) |
Balance |
call |
|
Notes: |
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|
$600.00 |
|
|
$4,000 |
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|
Exchange sets minimum levels for initial and maintenance margins |
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5-Jun |
$597.00 |
($600) |
($600) |
$3,400 |
$0 |
|
The margin account is volatile: cash in excess of margin can be withdrawn |
| |
6-Jun |
$596.10 |
($180) |
($780) |
$3,220 |
$0 |
|
This daily market-to-market creates CONVEXITY BIAS vis-à-vis forward contracts |
| |
7-Jun |
$598.20 |
$420 |
($360) |
$3,640 |
$0 |
|
Breach of maintenance margin requires MARGIN CALL: VARIATION MARGIN required to TOP UP TO INITIAL MARGIN |
| |
8-Jun |
$597.10 |
($220) |
($580) |
$3,420 |
$0 |
|
|
|
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9-Jun |
$596.70 |
($80) |
($660) |
$3,340 |
$0 |
|
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|
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10-Jun |
$595.40 |
($260) |
($920) |
$3,080 |
$0 |
|
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|
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11-Jun |
$593.30 |
($420) |
($1,340) |
$2,660 |
$1,340 |
|
|
|
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12-Jun |
$593.60 |
$60 |
($1,280) |
$4,060 |
$0 |
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|
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13-Jun |
$591.80 |
($360) |
($1,640) |
$3,700 |
$0 |
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|
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14-Jun |
$592.70 |
$180 |
($1,460) |
$3,880 |
$0 |
|
|
|
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15-Jun |
$587.00 |
($1,140) |
($2,600) |
$2,740 |
$1,260 |
|
|
|
| |
16-Jun |
$587.00 |
$0 |
($2,600) |
$4,000 |
$0 |
|
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|
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17-Jun |
$588.10 |
$220 |
($2,380) |
$4,220 |
$0 |
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|
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18-Jun |
$588.70 |
$120 |
($2,260) |
$4,340 |
$0 |
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|
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19-Jun |
$591.00 |
$460 |
($1,800) |
$4,800 |
$0 |
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20-Jun |
$592.30 |
$260 |
($1,540) |
$5,060 |
$0 |
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