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  • 3.3 Cornfutures

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    Kejsi Papa
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    The document simulates corn futures contracts from February 22nd to March 15th. It tracks the daily price of the contracts, the trader's position and profit/loss. It shows the trader started with an initial margin of $1,688 and ended with a total profit of $1,784 while maintaining the required maintenance margin of $1,250. It also models a potential margin call when the account dipped below maintenance level on March 4th.

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    3.3_cornfutures_

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    The document simulates corn futures contracts from February 22nd to March 15th. It tracks the daily price of the contracts, the trader's position and profit/loss. It shows the trader started with an initial margin of $1,688 and ended with a total profit of $1,784 while maintaining the required maintenance margin of $1,250. It also models a potential margin call when the account dipped below maintenance level on March 4th.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    1 views2 pages

    3.3 Cornfutures

    Uploaded by

    Kejsi Papa
    The document simulates corn futures contracts from February 22nd to March 15th. It tracks the daily price of the contracts, the trader's position and profit/loss. It shows the trader started with an initial margin of $1,688 and ended with a total profit of $1,784 while maintaining the required maintenance margin of $1,250. It also models a potential margin call when the account dipped below maintenance level on March 4th.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Simulation of the mechanics of corn futures

    Contract value 5000.00


    Initial margin 1688.00
    Maintenance margin 1250.00

    Futures Contracts
    Date Price Position Profit Margin Account
    Feb 22nd 690.25 1 1,688
    Feb 25th 688.41 1 -92 1,596
    Feb 26th 706.36 1 898 2,493
    Feb 27th 700.05 1 -316 2,178
    Feb 28th 696.69 1 -168 2,010
    March 1 689.51 1 -359 1,651
    March 4 668.25 1 -1,063 1,688
    March 5 693.31 1 1,253 2,941
    March 6 694.84 1 77 3,018
    March 7 651.18 1 -2,183 1,688
    March 8 680.47 1 1,464 3,152
    March 11 694.49 1 701 3,853
    March 12 699.37 1 244 4,097
    March 13 727.81 1 1,422 5,519
    March 14 707.01 1 -1,040 4,480
    March 15 725.93 1 946 5,425

    Total Profit/Loss 1,784


    Interest rate 0.25
    volatility 15.733448644528

    Forward Contract
    Margin Call Spot Price Forward price
    690 690.36
    0
    0
    0
    0
    0
    1,100
    0
    0
    853
    0
    0
    0
    0
    0
    0

    1,778

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