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1. You want to enter into an agreement to physically sell WTI crude oil at a...
Suppose that you will be delivering 150,000 barrels of crude oil in February. Currently the Feburary...
Suppose that you will be delivering 150,000 barrels of crude oil in February. Currently the Feburary WTI contract is at $51.04 per barrel. The oil you will deliver isn't exactly WTI. Based on historical data you estimate that the change in the WTI spot price and the change in the spot price of the grade you will deliver have the same standard deviation but the correlation between these price changes is only 0.95. One WTI futures contract is for 1,000...
Problem-01a: Current crude oil price is $52.00 per barrel. You sell (short position) 5, five, crude...
Problem-01a: Current crude oil price is $52.00 per barrel. You sell (short position) 5, five, crude oil futures contracts at futures price of $54.00 per barrel with maturity of one month. (Size of the contract is 5) Note that the size of one futures contract is 1,000 barrels. What is your profit if the crude oil price is $57.00 at maturity and assume cash settlement for this problem? ii. What is your profit if the crude oil price is $49.00...
Day 1 2 3 4 5 Futures Price 109 107 106 107 104 Suppose oil futures...
Day 1 2 3 4 5 Futures Price 109 107 106 107 104 Suppose oil futures prices are as given in the above table(price per barrel). Suppose you sell 100 crude oil futures contracts, each for 1000 barrels of crude oil, at the current futures price of $108 per barrel on day 0. What is your profit/loss in your margin account from the end of day 4 to the end of day 5?
Use the table for the question(s) below. Day 1 2 3 4 5 Futures Price 109...
Use the table for the question(s) below. Day 1 2 3 4 5 Futures Price 109 107 106 107 104 Suppose oil futures prices are as given in the above table (price per barrel). Suppose you buy 100 crude oil futures contracts, each for 1000 barrels of crude oil, at the current futures price of $108 per barrel on day 0. What is your cumulative profit/loss in your margin account by the end of day 5? A.−$400,000 B.$300,000 C.−$300,000
Oil prices rose more than 20% this year but there were no sharp spikes and crude...
Oil prices rose more than 20% this year but there were no sharp spikes and crude futures barely sniffed $70 a barrel despite attacks on the world’s biggest oil producer, sanctions that crippled crude exports of two OPEC members and gigantic supply cuts from big oil producing countries. The price gains in crude oil benchmarks were all in the first quarter of 2019, even as the next several months featured supply shocks that in the past would probably have propelled...
Oil prices rose more than 20% this year but there were no sharp spikes and crude...
Oil prices rose more than 20% this year but there were no sharp spikes and crude futures barely sniffed $70 a barrel despite attacks on the world’s biggest oil producer, sanctions that crippled crude exports of two OPEC members and gigantic supply cuts from big oil producing countries. The price gains in crude oil benchmarks were all in the first quarter of 2019, even as the next several months featured supply shocks that in the past would probably have propelled...
Numbers are in thousands! Your utility company will need to buy 100,000 barrels of oil in...
Numbers are in thousands!
Your utility company will need to buy 100,000 barrels of oil in 10 days, and it is worried about fuel costs. Suppose you go long 100 oil futures contracts, each for 1000 barrels of oil, at the current futures price of $50 per barrel. Suppose futures prices change each day. The daily prices are shown in the graph to the right and in the accompanying table. Complete parts (a) through (c) below. EEB Click the icon...
Your utility company will need to buy 100,000 barrels of oil in 10 days, and it...
Your utility company will need to buy 100,000 barrels of oil in 10 days, and it is worried about fuel costs Suppose you go long 100 oil futures contracts, each for 1000 barrels of oil, at the current futures price of $50 per barrel. Suppose futures prices change each day. The daily prices are shown in the graph to the right and in the accompanying table. Complete parts (a) through (c) below EEB Click the icon to view the futures...
AEC4063 Futures and Options - Homework 2 Chapter 1 Name: ID: 1. You have bought a...
AEC4063 Futures and Options - Homework 2 Chapter 1 Name: ID: 1. You have bought a cor contract (5,000 bushels, 2007 March Delivery) at a price of $4.04 per bushel on January 31, 2007. Several days later, your broker inform you that you have incurred a paper loss of SSOO, necessitating a margin call. What was the settlement price of corn on the day your loss reached $500? 2. NYMEX: www.nymer.com Light Sweet Crude Oil Trading (1 contract, 1000 barrels),...
Question 5 (20 points) You want to create a virtual hot-rolled coil (HRC) steel mill with...
Question 5 (20 points) You want to create a virtual hot-rolled coil (HRC) steel mill with a capacity of 1,000 tons/month using the futures market to benefit from the spread between the inputs and the output. Assume your costs are: 2 tons of iron ore and 1 ton of coking coal ton of steel and your output is hot-rolled coil steel. Future contracts are available on hot-rolled steel, iron ore, and coking coal. You are bullish that from T-O to...
Numbers are in thousands!
Your utility company will need to buy 100,000 barrels of oil in 10 days, and it is worried about fuel costs. Suppose you go long 100 oil futures contracts, each for 1000 barrels of oil, at the current futures price of $50 per barrel. Suppose futures prices change each day. The daily prices are shown in the graph to the right and in the accompanying table. Complete parts (a) through (c) below. EEB Click the icon...
Your utility company will need to buy 100,000 barrels of oil in 10 days, and it is worried about fuel costs Suppose you go long 100 oil futures contracts, each for 1000 barrels of oil, at the current futures price of $50 per barrel. Suppose futures prices change each day. The daily prices are shown in the graph to the right and in the accompanying table. Complete parts (a) through (c) below EEB Click the icon to view the futures...
AEC4063 Futures and Options - Homework 2 Chapter 1 Name: ID: 1. You have bought a cor contract (5,000 bushels, 2007 March Delivery) at a price of $4.04 per bushel on January 31, 2007. Several days later, your broker inform you that you have incurred a paper loss of SSOO, necessitating a margin call. What was the settlement price of corn on the day your loss reached $500? 2. NYMEX: www.nymer.com Light Sweet Crude Oil Trading (1 contract, 1000 barrels),...
Question 5 (20 points) You want to create a virtual hot-rolled coil (HRC) steel mill with a capacity of 1,000 tons/month using the futures market to benefit from the spread between the inputs and the output. Assume your costs are: 2 tons of iron ore and 1 ton of coking coal ton of steel and your output is hot-rolled coil steel. Future contracts are available on hot-rolled steel, iron ore, and coking coal. You are bullish that from T-O to...
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