HullOFOD9eSolutionsCh02第九版期权期货及其他衍生品课后答案.pdf

CHAPTER 2 Mechanics of Futures Markets Practice Questions Problem 2.1. Distinguish between the terms open interest and trading volume. The open interest of a futures contract at a particular time is the total number of long positions outstanding. (Equivalently, it is the total number of short positions outstanding.) The trading volume during a certain period of time is the number of contracts traded during this period. Problem 2.2. What is the difference between a local and afutures commission mercha nt? Afutures commission merchant trades on behalf of a client and charges a commission. A local trades on his or her own behalf. Problem 2.3. Suppose that you enter into a short futures contract to sell July silver for $1 7.20 per ounce. The size of the contract is 5,000 ounces. The initial margin is $4,000, and the maintenance margin is $3,000. What change in the futures price will lead to a margin call? What happens if you do not meet the margin call? There will be a margin call when $1,000 has been lost from the margin account. This will occur when the price of silver increases by 1,000/5,000  $0.20. The price of silver must therefore rise to $17.40 per ounce for there to be a margin call. If the margin call is not met, your broker closes out your position. Problem 2.4. Suppose that in September 2015 a company takes a long position in a contract on May 2016 crude oil futures. It closes out its position in March 2016. Thefutures price (per barrel) is $88.30 when it enters into the contract, $90.50 when it closes out its position, and $89.10 at the end of December 2015. One contract is for the delivery of 1,000 barrels. What is the company’s total profit? When is it realized? How is it taxed if it is (a) a hedger and (b) a speculator? Assume that the company has a December 31 year -end. The total profit is ($90.50  $88.30)  1,000 $2,200. Of this ($89.10  $88.