Equity Index Futures: Margin Calculation and Variation Margin Call Example

8.a To calculate the number of contracts purchased, divide the total value of the futures position by the value of one contract:

Number of contracts = ﾣ5,000,000 / (ﾣ10 * 6849)

8.b To calculate the initial margin requirement, multiply the total value of the futures position by the initial margin percentage:

Initial margin requirement = ﾣ5,000,000 * 5%

8.c To calculate the variation margin call, multiply the change in index points by the value of one contract:

Variation margin call = (6849 - 6749) * (ﾣ10 * Number of contracts calculated in 8.a)