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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
Question 11 2 pts Which of the following is false? A negotiated non-standardized agreement between a...
Question 11 2 pts Which of the following is false? A negotiated non-standardized agreement between a buyer and seller (with no third party involvement) to exchange an asset for cash at some future date, with the price set today is called a forward agreement. In a futures contract, if funds in the margin account fall below the maintenance margin requirement, a margin call is issued. Forward contracts are traded over the counter European-style options are options that may only be...
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...
13 Suppose you are a crude oil trader working for Trafigura. You have just bought the...
13 Suppose you are a crude oil trader working for Trafigura. You have just bought the entire stock of an oil tanker (2 million barrels of crude oil) at 59.2 dpb (dollars per barrel). To hedge your position you enter into a 3-year forward contract at 53.8 dpb. However, after three weeks the time basis is trading at -4.5 dpb. What are your mark to market profits in USD? (In case it is necessary express losses as a negative profit,...
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...
Question 11 2 pts Which of the following is false? A negotiated non-standardized agreement between a buyer and seller (with no third party involvement) to exchange an asset for cash at some future date, with the price set today is called a forward agreement. In a futures contract, if funds in the margin account fall below the maintenance margin requirement, a margin call is issued. Forward contracts are traded over the counter European-style options are options that may only be...
13 Suppose you are a crude oil trader working for Trafigura. You have just bought the entire stock of an oil tanker (2 million barrels of crude oil) at 59.2 dpb (dollars per barrel). To hedge your position you enter into a 3-year forward contract at 53.8 dpb. However, after three weeks the time basis is trading at -4.5 dpb. What are your mark to market profits in USD? (In case it is necessary express losses as a negative profit,...
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...
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