Futures Margin and Mark-to-Market
Follow a futures position through daily settlement: each day's gain or loss moves through the margin account, and a fall below maintenance margin brings a call to top it back up.
Learning focus: futures and forwards at the same prices produce the same total gain or loss, but futures pay it out daily, so a losing position needs cash before expiry.
A triangle marks a day the balance fell below maintenance margin. The call is the amount that restores it to initial margin, not just to maintenance.
| Day | Settlement | Change | Gain/loss | Balance before call | Margin call | End balance | Cumulative |
|---|---|---|---|---|---|---|---|
| Open | 75.00 | 6,000.00 | |||||
| 1 | 74.20 | −0.80 | −800.00 | 5,200.00 | — | 5,200.00 | −800.00 |
| 2 | 73.10 | −1.10 | −1,100.00 | 4,100.00 | 1,900.00 | 6,000.00 | −1,900.00 |
| 3 | 72.40 | −0.70 | −700.00 | 5,300.00 | — | 5,300.00 | −2,600.00 |
| 4 | 73.60 | 1.20 | 1,200.00 | 6,500.00 | — | 6,500.00 | −1,400.00 |
| 5 | 75.30 | 1.70 | 1,700.00 | 8,200.00 | — | 8,200.00 | 300.00 |
| 6 | 76.10 | 0.80 | 800.00 | 9,000.00 | — | 9,000.00 | 1,100.00 |
A forward at the same entry price would settle the whole gain or loss once, at expiry: 1,100.00. The futures position ends with the same total (1,100.00), but it arrives day by day, and the trader had to find 1,900.00 in margin calls along the way.
Ignoring interest on margin balances. With interest, the timing difference can make futures and forward prices differ slightly when rates move with the underlying.