1.

A” purchased SBI future and held till expiry

• Underlying asset : SBI stock
• Asset purchased : SBI 30Jul 2024 Future contract
• Quantity : 1000 units
• Date of purchase : 8th July 2024
• Purchase price : Rs 269.8 per unit
• Date of expiry of the futures contract : 30th July 2024
• Closing price of the futures contract on the date of expiry :
Rs 275 per unit
• Transaction costs on purchase and sale : Rs 0.2 per unit
2. “B” sold SBI future and held till expiry
• Underlying asset : SBI stock
• Asset purchased : SBI30Jul2019 Future contract
• Quantity : 1000 units
• Date of purchase : 8th July 2019
• Sale price : Rs 269.8 per unit
• Date of expiry of futures contract : 30th July 2019
• Closing price of the futures contract on the date of expiry : Rs 275 per unit
• Transaction costs on purchase and sale : Re 0.2 per unit
3. “C” purchased SBI future and sold before expiry
• Underlying asset : SBI stock
• Asset purchased : SBI30Jul2019 Future contract
• Quantity : 1000 units
• Date of purchase : 8th July 2019
• Purchase price : Rs 269.8 per unit
• Date of sale of the futures contract : 23th July 2019
• Sale price : Rs 273 per unit
• Transaction costs on purchase and sale : Re 0.2 per unit
4. “D” sold SBI future and bought back before expiry
• Underlying asset : SBI stock
• Asset purchased : SBI30Jul2019 Future contract
• Quantity : 1000 units
• Date of sale : 8th July 2019
 • sale price : Rs 269.8 per unit
• Date of buying back of the futures contract : 22nd July 2019
• Purchase price : Rs 272 per unit
• Transaction costs on purchase and sale : Re 0.2 per unit
5. “E” buys the underlying stock and sells the future contract simultaneously, positions
are squared off on expiry
 Asset purchased: SBI stock
 Quantity : 1000 shares
 Asset sold : SBI30Jul2019 Future contract
 Quantity : 1000 units
 Date of purchase of the underlyingstock: 8th July 2019
 Date of sale of the future contract : 8th July 2019
 Purchase price of the underlying stock: Rs 266.8 per share
 Sale price of the future: Rs 269.8 per unit
 Date of expiry of the futures contract : 30th July 2019
 Closing price of the futures contract on the date of expiry : Rs 275
 Closing price of the underlying stock on the date of expiry : Rs 275
 (note : the closing prices on the date of expiry for both the
underlying stock and the future contract need to be identical)
 Transaction costs on the underlying stock : Re 0.8
 Transaction costs on the future contract : Re 0.2
 Compute Gain on underlying stock and Loss on the future contract
6. “F” buys the underlying stock and sells the future contract simultaneously,
positions are squared off prior to expiry
 Asset purchased: SBI stock
 Quantity : 1000 shares
 Asset sold : SBI30Jul2019 Future contract
 Quantity : 1000 units
 Date of purchase of the underlying stock: 8th July 2019
 Date of sale of the future contract : 8th July 2019
 Purchase price of the underlying stock: Rs 266.8 per share
 Sale price of the future: Rs 269.8 per unit
 Date of squaring off : 23rd July 2019
  Purchase price of the futures contract on the date of squaring off : Rs 273
 Sale price of the underlying stock on the date of squaring off : Rs 272
 Transaction costs on the underlying stock : Re 0.8
 Transaction costs on the future contract : Re 0.2
Compute Gain on underlying stock and Loss on the future contract
Initial margin
7. 3 lots of Nifty Sep17 future are purchased @ 8000. If the initial margin required is
12%, compute the funds required in client’s account before initiating the trade.(lot
size : 25 units)
8. 2 lots of Reliance Sep17 future are purchased @ 1500. If the initial margin required
is 25%, compute the funds required in client’s account before initiating the trade.(lot
size : 400 units)
margin for futures
9. “A” buys 10 lots INFY24SEP2019 @Rs.1,100 on 31stAug, 2019. Lot size: 250 units
I. Calculate the notional value of the contract
II. If the initial margin on INFY is 25% , how much would “A” need to pay the
broker to initiate the position ?
III. Maintenance margin is 15%. What is the minimum credit balance “A” needs
to keep in the margin account with the broker ?
IV. The closing price of the future contract on 1st Sep is 1105. What is the credit
balance in “A” ‘s margin account ?
V. The closing price of the future contract on 2nd Sep is 1092. What is the credit
balance in “A” ‘s margin account ?
VI. Alternatively, credit balance in the margin account on 2nd Sep can be
calculated as
VII. On 5th Sep, price drops to 980. What’s credit balance? How much does “A”
need to pay the broker to make up the credit balance in the margin account ?
VIII. How much does “A” need to pay the broker to make up the credit balance in
the margin account ?
IX. In case “A” is unable to pay this amount, how many lots should the broker
sell to make the margin account regular ?
Speculation using Futures contracts
10. If a speculator expectsshort term spurt in the index, index futures may be bought.
 100 units of NiftySept2019 future contract are purchased at 8350 on day 0
Position is held for 15 days and the average margin blocked is 15%
100 NiftySept2017 are sold at 8475 on day 15
Practice
11. a) Calculate the credit balance required in “A” ‘s fund account to be able to initiate a
short position for 20 lots in NiftySep19 @ 7800 ( lot size : 25), if the initial margin
required is 15%.
b) with the situation in the above; calculate the credit balance in the margin account
of “A”, if the NiftySep19 increases to 8000 three days after the trade.
C) if “A”squares off on the day 5 @ 7950, Compute the profit/loss made by the
client.
12. “B” buys 12 lots of NiftySep19 @ 8002 (lot size : 25, initial margin required 15%) and
sells 10 lotsof TATASTEELSep19 @ 240 on the same day (lot size : 1000 , initial margin
required 25%)
I. Compute the funds required to initiate the two positions
II. If on day 5, NiftySep19 closes at 8102 and TatasteelSep19 closes at 230;
compute the credit balance in “B”’s account
III. If “B” squares off both the positions on day 7 when NiftySep19 closed at 8152
and Tatasteel Sep19 closed at 225; compute the profit/loss made by “B”

13 An investor predicts price increase in the Silver futures market from the current price
of INR 38,000 per Kg. The Market lot being 10 Kgs. He buys 1 lot of Futures Silver
with Initial margin 20%. What is the amount of Margin money and what will be the
profit/ loss if price of silver increases by 20%?
14 On 15th Sept, Mr. Shreeni establishes long position in 200 shares of TISCO Tally
to expire on 1st Oct at a futures price of INR 600 per share. Initial margin is INR
30,000 and maintenance margin is INR 20,000. Draw a table showing margin
and M-T-M for Mr. Shreeni on 1st Oct with the following information. Mr.
Shreeni needs to maintain minimum margin at all times
 15. Compute total MTM gain / loss and draw a table showing deposits and withdrawals
in case the margin falls below the minimum margin? Note that the investor is required
to maintain minimum margin each time the margin falls below the minimum margin
levels.

16. Investor 'A' has taken a long position and Investor 'B' has taken a short position in Nifty
Futures at 9900. (one contact) The lot size associated with the contract is 75. (lot size) The
Initial Margin is assumed to be 10% of one futures contract and the maintenance margin
is 75%. Of initial margin. The futures settlement prices on the following 5 (five) days are
as follows:
Closing Price
Day Settlement Price

1 9950

2 9920

3 9750

4 9600

5 9680
Prepare a market to market margin settlement statement in the accounts of both the investors
and find out the gain / loss if the contract is closed on the 5th day.