Trading Case Essay

528 words - 3 pages

1. We incurred a loss after reversing all the trades. Our initial cash was $1,000,000 and our ending cash was $889,137.74 which is a loss of $110,862.26.

2. For the specific contract of E Mini S&P 500 December 2014, we initially bought $464,250 which came out of the initial million. We chose this contract as it matched with our beta value of the portfolio. When we reversed the trades at the end of the 19 day period, we only received $300,117.4 which is an incurred loss of $164,132.7.
The specific cash flows that occurred with the December futures are in: Table 1 (appendix)

3. According to table 1 (assuming 4% maintenance margin):
The first margin ...view middle of the document...

Table 1
As of 4/2/2014 | Time | Currency | Action | Price | Amount |
3/6/2014 | 10:19:05 AM | US Dollar | FuturesMargin E Mini S&P 500 December 2014 | 92850 | -464250 |
3/6/2014 | 10:19:05 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 92900 | 4749.993 |
3/6/2014 | 10:35:20 AM | US Dollar | FuturesMargin E Mini S&P 500 December 2014 | 92787.5 | 116125 |
3/13/2014 | 5:22:12 PM | US Dollar | CashChangeMarginCall E Mini S&P 500 December 2014 | 91500 | -102532.5 |
3/14/2014 | 3:33:46 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/15/2014 | 3:33:43 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/16/2014 | 3:33:51 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/17/2014 | 3:33:54 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91500 | 4.432387 |
3/17/2014 | 6:06:10 PM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91762.5 | 18703.12 |
3/18/2014 | 3:33:53 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 91762.5 | 4.4636226 |
3/18/2014 | 5:00:07 PM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 92462.5 | 49874.527 |
3/19/2014 | 1:28:29 AM | US Dollar | CashChangeMarginCredit E Mini S&P 500 December 2014 | 92525 | 4457.1196 |
3/25/2014 | 10:26:34 AM | US Dollar | FuturesMargin E Mini S&P 500 December 2014 | 92100 | 300117.4 |

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