What is the notional value of your position

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Question - Suppose the S&P-500 index futures price is currently 950 (with a contract multiplier of $250) and the initial margin is 10%. You wish to enter into 10 S&P-500 futures contracts.

(a) What is the notional value of your position? What is the margin?

(b) Suppose you earn a continuously compounded rate of 6% on your margin balance, your position is marked to market weekly, and the maintenance margin is 80% of the initial margin. What is the greatest S&P-500 index futures price 1 week from today at which you will receive a margin call?

Reference no: EM132213951

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