题目
To utilize the cash position of assets under management, a portfolio manager enters into a long futures position on the S&P 500 index with a multiplier of 250. The cash position is $15 million with the current futures value of 1000, which requires the manager to long 60 contracts. If the current initial margin is $12500 per contract, and the current maintenance margin is $10000 per contract, what variation margin does the portfolio manager have to advance if the futures contract value falls to $995 at the end of the first day of the position being placed?
选项
A.$30,000
B.$0
C.$300,000
D.$75,000
答案
B
解析
Step 1: Initial margin $12,500 × 60 = $750,000; Maintenance margin$10,000 × 60 = $600,000Step 2: The first day lose = (1,000 – 995) × 250 × 60 = $75,000,So the first day value = $750,000 – $75,000 = $675,000>$600,000It will not require a variation margin to bring the position to the proper margin level. 第一步计算初始保证金12500 × 60 = 750000；维持保证金10,000 × 60 = 600,000。 第二步计算第一天损失 = (1000-995) × 250 × 60 = $75000，所以第一天的价值= 750000-75,000=675000>600000，因此不需要补充保证金。