RE: Emini mark-to-market

["cwest" <cwest@xxxxxxxxxxxx>]

Jack,

Thanks for the response. That's about where I came to and thought I must
have missed something. Therefore the question changes to how does one
mark-to-market a portfolio that consists of stocks and Futures? 

Presumably it's necessary to use the notional value of Futures. In
pedantic terms at least, Futures are contracts obligating the parties to
settle in notional terms, not margin terms. Apart from an issue of
notional values not reconciling to any cash account or balance, wouldn't
the use of notional values distort performance measurement, in terms of
absolute or cash value? 

Colin


-----Original Message-----
From: jack zaner [mailto:jzaner@xxxxxxxxxxxx] 
Sent: Tuesday, October 07, 2003 12:21 PM
To: cwest; omega-list@xxxxxxxxxx
Subject: Re: Emini mark-to-market

Colin:  While margin for stocks directly relates to value, no such
direct
relationship exists for futures.  The term "margin" as used in futures
is a
misnomer- -good faith deposit is more accurate and its purpose is to
address
risk concerns. Therefore, I can't see how a cash flow relationship can
be
established for futures as it can for stocks.
Regards,  Jack.
----- Original Message ----- 
From: "cwest" <cwest@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Tuesday, October 07, 2003 10:53 AM
Subject: Emini mark-to-market


> Interested to hear some points of view about marking to market an
Emini
> in cashflow terms.
>
> With stocks, as you know margin is 50% of price*qty if long and 150%
of
> price*qty if short. The difference between those calculations from day
> to day reflects net change in value and the profit or loss in a
> position. How would you arrive at the same amount of margin required
for
> an Emini that also reflects a cashflow amount that can be used to
> calculate profits?
>
> Colin West
>
>