FINANCIAL DERIVATIVES

ASSIGNMENT 1
Submitted by: Muskan Sharma
Roll No: 281031

Part (A) A futures contract was entered into on 14 th July 2020 expiring on 22nd July 2020 to buy (long
position) a lot of Sun Pharmaceuticals Ltd. Shares. A lot contains of 1400 shares.

Sun Pharma-Long
Contract
Contract Value Maintenance Margin
Trade Close Daily Initial Day end Value at
Date at the Start of Span Returns Margin Call
Price Price Profit/Loss Margin margin the End of
the day Requirement Amt
the day
14-Jul-20 500.1 700140 492.5 -10640 157951.58 136317.26 147311.58 689500 -1.52% No 0
15-Jul-20 493.95 691530 495.2 1750 159259.36 136646.33 149061.58 693280 0.25% No 0
16-Jul-20 495.9 694260 500.8 6860 161207.17 138366.02 155921.58 701120 0.99% No 0
17-Jul-20 499.35 699090 505.45 8540 162818.06 140167.55 164461.58 707630 1.22% No 0
20-Jul-20 501.55 702170 483.6 -25130 164942 141246 139331.58 677040 -3.58% No 0
21-Jul-20 487.2 682080 479.05 -11410 162200 138712 127921.58 670670 -1.67% yes 34278.42
22-Jul-20 480.55 672770 480.55 0 161457 138138 161457 672770 0 No 0

Total Loss -30030

The contract was closed by squaring off the position on 22nd July 2020 as soon as the market opened on
the opening price. Total loss incurred on this transaction was of Rs. 30030.

Part (B) A futures contract was entered into on 14 th July 2020 expiring on 22nd July 2020 to sell (short
position). The index chosen was Nifty. A lot contains of 75 shares.

NIFTY-Short
Contract
Contract Value Maintenance Margin
Trade Close Daily Initial Day end Value at
Date at the Start of Span Returns Margin Call
Price Price Profit/Loss Margin margin the End of
the day Requirement Amt
the day
14-Jul-20 10752.9 806467.5 10613.85 10428.75 145083 129196 155511.75 816896.25 1.29% No 0
15-Jul-20 10682 801150 10628.25 4031.25 143085 126902 159543 805181.25 0.50% No 0
16-Jul-20 10652.9 798967.5 10713.85 -4571.25 142315 126351 154971.75 794396.25 -0.57% No 0
17-Jul-20 10751.3 806347.5 10905.05 -11531.25 144148 127858 143440.5 794816.25 -1.43% No 0
20-Jul-20 10955 821625 11008.6 -4020 146302 129787 139420.5 817605 -0.49% No 0
21-Jul-20 11122.65 834198.75 11170.55 -3592.5 147854 131091 135828 830606.25 -0.43% No 0
22-Jul-20 11186.7 839002.5 11186.7 0 149171 132482 135828 839002.5 0 No 0
Total loss -9255

The contract was closed by squaring off the position on 22nd July 2020 as soon as the market opened on
the opening price. Total loss incurred on this transaction was of Rs. 9255.