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the first pair of indices is j1 = 1 and j2 = 5 The minimum value of kP[ j] + C[ j] for 1 < j < 5 is at point 2 It is equal to kP[2] + C[2] = $100 4001 + $50 = $40,060 However, at this point, the trading power is not enough for buying additional contracts Indeed, $1,350 [initial cash] $50 [transaction cost] + $100 [dollars value of one point] 1 [position size] (4001 400) 1 [position size] $1,350 [initial margin] = $1,300 [current cash] + $10 [open position equity] $1,350 [total initial margin] = $1,310 [total equity] $1,350 = $40 We must have a trading power of at least $1,350 in order to buy one additional contract At this point, there is no margin call because $1,310 [total equity] > $1,000 [maintenance margin].

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At point 3 the trading power is equal to $1,350 $50 + $100 1 (415 400) 1 $1,350 = $1,300 + $1,500 $1,350 = $1,450 which is enough to buy an additional contract However, it is better to buy the contract at point 4 with the lower sum $100 P[4] + C[4] = $41,450 + $50 = $41,500 compared to the sum at point 3, $100 P[3] + C[3] = $41,500 + $50 = $41,550 The trading power at point 4 is equal to $1,350 $50 + $100 1 (4145 400) 1 $1,350 = $1,300 + $1,450 $1,350 = $1,400, which is also enough reserves for buying one contract Hence, the position should be increased at point 4 but not at 3 Does it make sense to increase it at all Yes, because it is a profitable transaction $50 + $100 1 (420 414.

0 0 0 1

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5) $50 = $550 $100 = $450 The next point is the reversal point j2 = 5 If we offset the position consisting of two contracts bought at 4000 and 4145, respectively, we get the total cash value = $1,350 $50 + $100 1 (420 400) $50 [the closing transaction cost for the first contract] $50 [the initiating transaction cost for the second contract] + $100 1 (420 4145) $50 [the closing transaction cost for the second contract] = $1,300 + $2,000 $100 + $550 $50 = $3,700 This is enough value to sell two contracts at 420 The beginning of the second P&L reserve strategy is then (0, 1, 0, 0, 1, 4, ) The next pair of indices needs to be determined at the reversal point recommended by a potential profit strategy.

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