CFA Level I sample question

CFA Level I Pricing and Valuation of Futures Contracts question

Derivatives / Pricing and Valuation of Futures Contracts

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Pricing and Valuation of Futures Contracts sample question

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Derivatives

Pricing and Valuation of Futures Contracts

Kwame Mensah sells four crude oil futures contracts at USD 72.50 per barrel; each contract covers 1,000 barrels. The initial margin is USD 5,500 per contract and the maintenance margin is USD 5,000 per contract. Settlement prices are USD 72.95 at the end of Day 1 and USD 73.30 at the end of Day 2. Mensah makes no withdrawals or deposits before any required margin call. The variation margin Mensah must deposit at the end of Day 2 is closest to:

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