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Simulation of the mechanics of corn futures

Contract value 5000.00


Initial margin 1688.00
Maintenance margin 1250.00
http://www.ccstrade.com/futures/corn-futures-c/margin/

Futures Contracts
Date Price Position Profit Margin Account
Feb 22nd 690.25 1 1,688
Feb 25th 693.50 1 163 1,851
Feb 26th 705.00 1 575 2,426
Feb 27th 709.50 1 225 2,651
Feb 28th 719.50 1 500 3,151
March 1 724.25 1 238 3,388
March 4 723.00 1 -63 3,326
March 5 732.00 1 450 3,776
March 6 708.00 1 -1,200 2,576
March 7 711.50 1 175 2,751
March 8 725.25 1 688 3,438
March 11 734.50 1 463 3,901
March 12 741.00 1 325 4,226
March 13 741.25 1 13 4,238
March 14 732.75 1 -425 3,813
March 15 730.50 1 -113 3,701

Total Profit/Loss 2,013


Interest rate 0.25

Forward Contract
Margin Call Spot Price Forward price
690 690.36
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

2,007
Simulation of the mechanics of corn futures

Contract value 5000.00


Initial margin 1688.00
Maintenance margin 1250.00
http://www.ccstrade.com/futures/corn-futures-c/margin/

Futures Contracts
Date Price Position Profit Margin Account
Feb 22nd 690.25 1 1,688
Feb 25th 693.14 1 145 1,833
Feb 26th 678.39 1 -738 1,688
Feb 27th 680.09 1 85 1,773
Feb 28th 659.29 1 -1,040 1,688
March 1 702.07 1 2,139 3,827
March 4 703.26 1 59 3,886
March 5 692.40 1 -543 3,344
March 6 692.76 1 18 3,362
March 7 690.17 1 -129 3,232
March 8 699.35 1 459 3,691
March 11 692.29 1 -353 3,338
March 12 712.89 1 1,030 4,368
March 13 714.48 1 79 4,448
March 14 724.33 1 492 4,940
March 15 703.21 1 -1,056 3,884

Total Profit/Loss 648


Interest rate 0.25
volatility 15.7334486445

Forward Contract
Margin Call Spot Price Forward price
690 690.36
0
593
0
955
0
0
0
0
0
0
0
0
0
0
0

642

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