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ALFA = LONG X= ETE Y= OC Z= C Position= Long Position= Long IV.1. STRATEGIES WITH DERIVATIVES CONTRACTS. TOTAL for section III.: 5 points IV.1.1.
ALFA = LONG
X= ETE Y= OC Z= C
Position= Long Position= Long
IV.1. STRATEGIES WITH DERIVATIVES CONTRACTS. TOTAL for section III.: 5 points IV.1.1. HEDGING WITH FUTURES. In to the price on the futures market Is X. You are ALFA on FUTURES. Provide a hedging example (including the result) when the futures prices increase more than the spot prices and the market is in backwardation. (2 p) DATE SPOT/CASH MARKET FUTURES MARKET BASIS TO T1 RESULTS IV.1.2. STRATEGIES WITH OPTIONS: CHOOSE BETWEEN A CALL AND A PUT OPTION. The option premium is z. The strike price is X. Fill in the table for different cash/spot stock prices and draw the chart for the option by marking the representative prices (for gains, losses, and break-even point). (2 p) STOCK PRICE PROFIT ON OPTION TOTAL PROFIT IV.1.3. A contract covers 1,000 barrels of crude oil. The initial margin requirement is $3,375, and the maintenance margin requirement is $2,500. Your initial position is ALFA and the initial futures price is $Y. At what price would you get a margin call? (1 p) IV.1. STRATEGIES WITH DERIVATIVES CONTRACTS. TOTAL for section III.: 5 points IV.1.1. HEDGING WITH FUTURES. In to the price on the futures market Is X. You are ALFA on FUTURES. Provide a hedging example (including the result) when the futures prices increase more than the spot prices and the market is in backwardation. (2 p) DATE SPOT/CASH MARKET FUTURES MARKET BASIS TO T1 RESULTS IV.1.2. STRATEGIES WITH OPTIONS: CHOOSE BETWEEN A CALL AND A PUT OPTION. The option premium is z. The strike price is X. Fill in the table for different cash/spot stock prices and draw the chart for the option by marking the representative prices (for gains, losses, and break-even point). (2 p) STOCK PRICE PROFIT ON OPTION TOTAL PROFIT IV.1.3. A contract covers 1,000 barrels of crude oil. The initial margin requirement is $3,375, and the maintenance margin requirement is $2,500. Your initial position is ALFA and the initial futures price is $Y. At what price would you get a margin call? (1 p)Step by Step Solution
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