Answer:
$930.89
Explanation:
The Notional value of position = Price of S&P-500 index future x Contract multiplier x no. of contracts
= 950x250x10
=$2,375,000
Margin = Total nominal value of position x Initial margin
=2375,000x10%
=$237,500
b) Maintenance margin = Initial margin x Maintenance margin
=237500 x 80%
=$190,000
Margin call will be receive when value of the Initial margin falls below maintenance margin
Thus 237500e^0.06/52 + (St -950) x250 x10 <190,000
From here St = price at which margin call will be made
=237500e^0.0011538 + (St -950) x 2500 <190,000
=237500(1.0011538) + (St -950) x 2500 <190,000
=237774.04 + (2500St - 2375000) < 190,000
=2500St - 2137226 <190,000
= 2500St <2327226
St < 930.89
Thus price below $930.89 will be called maintenance margin.
