FINANCIAL DERIVATIVES

ASSIGNMENT 2
Submitted by: Muskan Sharma
Roll No: 281031

1. A futures contract was entered into on July 27, 2020 to hedge the risk by taking the long position
for Eicher motors

Equity Derivative ,LONG

Eicher motors , lot size= 2*35
Margin
Traded No Daily
volume of Volume Contract SPAN Maintainen Total Margin Margin profit/lo
Date Open close High low change(%) ('000) OI lots hold value Margin % ce Margin % Margin % req % available ss %
27/72020 20732.2 20599 20890 20372 4071 138110 2 70 1441895 361986 25.1% 50,771 3.5% 412,757 28.6% 412757 29% 412757
28/7/2020 20684.6 21122 21209.7 20635 2.54% 3136 174895 2 70 1478530 362123 24.5% 51023 3.5% 413,146 27.9% 0 0% 449392 36634.5 8.87%
29/72021 21000.1 21345 21566.85 21000 1.05% 4555 228480 2 70 1494122 362356 24.3% 51210 3.4% 413,566 27.7% 0 0% 464984 15592.5 3.77%
30/7/2021 21384 21107 21658.35 21020 -1.11% 5771 267610 2 70 1477504 362015 24.5% 50995 3.5% 413,010 28.0% 0 0% 448366 -16618 -4.02%
31/7/2022 21259.9 20723 21344.4 20675 -1.82% 5259 254835 2 70 1450593 361952 25.0% 50632 3.5% 412,584 28.4% 0% -26911.5 -6.52%
8697.5
spot price 20620
net price actual
for 1 lot 721700 cost 713002.5

Overall the transaction came out to be profitable with a profit of 8697.5

2. A futures contract was entered into on July 27, 2020 to hedge the risk taking a short position for
the crude oil.

Commodity Futures, Short

Crude oil, Lot size=100
Margin

Traded No Daily
change volume of Volume Contract SPAN Maintainence Total Margin Margin profit/los
Date Open close High low (%) ('000) lots hold value Margin % Margin % Margin % req % available s %
27/72020 3107 3138 3145 3057 1007 1 100 313800 304500 97.0% 4550 1.4% 309050 98.5% 309050 98% 313350 0%
28/7/2020 3134 3095 3147 3080 -1.37% 670 1 100 309500 339600 109.7% 4400 1.4% 344000 111.1% 0 0% 341300 4300 1.25%
29/72021 3094 3122 3142 3090 0.87% 331 1 100 312200 304200 96.8% 4622 1.2% 308822 98.9% 0 0% 316622 -2700 -0.87%
30/7/2021 3119 3044 3122 2943 -2.50% 800 1 100 304400 302100 98.3% 3743 1.2% 305843 100.5% 0 0% 306943 7800 2.55%
31/7/2022 3004 3033 3041 2978 -0.36% 1 100 303300 299200 0.0% 3740 0.0% 302940 99.9% 0 0% 313440 1100 0.36%
10500

Crude oil 3035

Price 3 net
lots 910500 cost 900000

Again it turned out to be profitable with a profit of 10500