A trader opens 10 long SPI 200 futures at an index level of 9,000.

Each contract = A$25 × index.

ASX Clear (Futures) requires Initial Margin (IM) of A$4,500 per contract, based on a 2-day MPOR and 99.5 % confidence level.

On the next day, the index closes at 8,940.
On the following day, it closes at 9,010.

Which statement best describes the cash flows and margin position over the two days?

Question

A trader opens 10 long SPI 200 futures at an index level of 9,000.  
 
 Each contract = A$25 × index.  
 
 ASX Clear (Futures) requires Initial Margin (IM) of A$4,500 per contract, based on a 2-day MPOR and 99.5 % confidence level.  
 
 On the next day, the index closes at 8,940.  
 On the following day, it closes at 9,010.  
 
 Which statement best describes the cash flows and margin position over the two days?

Accepted Answer

Day 1: trader posts A$15 000 VM debit; Day 2: receives A$17 500 VM credit; IM remains unchanged

Answer

Day 1: posts A$25 000 VM debit; Day 2: receives A$17 500 VM credit; IM reduced by A$7 500

Answer

Day 1: receives A$15 000 VM credit; Day 2: posts A$17 500 VM debit; IM remains unchanged

Answer

Day 1: posts A$25 000 VM debit; Day 2: receives A$7 000 VM credit; IM top-up required to A$52 000

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A trader opens 10 long SPI 200 futures at an index level of 9,000. Each con...

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