HIGX30 13. How many contracts would be required to properly hedge a position where ther of two assets is 905, the s of the asset is .0754, and the s of the commodity futures contract is.1065? 14. What is the hedge ratio for a jeweler trying to hedge inventory of 235 troy ounces of rhodium, assuming that she uses palladium futures as a hedge. Assume that the r is.859 and the s for palladium is 2376 and the s for rhodium is 5730 15. You have just deposited $17.500 into a new futures account. You have established the following positions: Onty Entry Price In Mign Initial Pus Tie Value Contract Cash Balance LCV20 2 107.65|cwt $1,350 $2,700 5.02511-51040.000 CTV20 105617 54.900 54.900 110cent - $550.000 TL $7,763 87.76 $0.25/1-512.50 25.000 TL The prices of the commodities have moved during the trading day so that COB (close of business) quotes are: Contract High Low Close LCV20 112.525 111,025 112.525 CTV20 06416 06416 06416 HGX20 3.116 3.035 3.116 What is the new balance of the account when marked-to- market? 16. Assume you have $18,567 in equity in your account, including a long position of 7 contracts of December wheat purchased at 487.4 cents per bushel. At close today, it was quoted at 527.3 cents per bushel. If these are standard contracts (5000 bushels), what is the new equity balance in the account, after it was marked-to-market? 17. If a futures contract is priced at $305.36 per ton for soymeal and the spot price is $301.76, what is the basis? 18. A cereal manufacturer wants to maintain costs on future deliveries of 107, 500 bushels of wheat at 567.4 cents per bushel. They notice that the hedge ratio is very close to 1, so they enter into 5,000 short contracts for October delivery at 568.1 cents per bushel, another 5,000 contracts for December delivery at 569.0 cents per bushel, another 5,000 contracts for February delivery at 570.5 cents per bushel, and, finally, for April delivery the same number of contracts at 571.4 cents per bushel. The company closes out contracts as the last trade date approaches. Holding Price all-to-Open Price ar Bay-to-Close Wheat Holdings 107.500 bulong 567.to be 586.40 bu October wheat 5.000 contracts 568cbe $60.5cbu December wheat 5.000 contacts $69.0cb570.80 tu February wheat 5.000 contacts 570Scbu April whe 5.000 571. Abu What was the cost(gain) of this hedge to the company? 19. You are a candy manufacturer, specializing in chocolate toffee (yum!). You have just received an order which requires the purchase of 13 tons of cocoa over six months. Relevant contract specs for cocoa are: Clese Pricehow Number of Contraces The Se Te Value Contract Spol US$3641 10 tous Sito US$10.00 USSM123 10 tous Silton US$10.00 May 21 10 Son USSIO.00 USS2602 10 tons Ston SS10.00 US53668 Dec 20 Mar 21 USS 2011 HIGX30 13. How many contracts would be required to properly hedge a position where ther of two assets is 905, the s of the asset is .0754, and the s of the commodity futures contract is.1065? 14. What is the hedge ratio for a jeweler trying to hedge inventory of 235 troy ounces of rhodium, assuming that she uses palladium futures as a hedge. Assume that the r is.859 and the s for palladium is 2376 and the s for rhodium is 5730 15. You have just deposited $17.500 into a new futures account. You have established the following positions: Onty Entry Price In Mign Initial Pus Tie Value Contract Cash Balance LCV20 2 107.65|cwt $1,350 $2,700 5.02511-51040.000 CTV20 105617 54.900 54.900 110cent - $550.000 TL $7,763 87.76 $0.25/1-512.50 25.000 TL The prices of the commodities have moved during the trading day so that COB (close of business) quotes are: Contract High Low Close LCV20 112.525 111,025 112.525 CTV20 06416 06416 06416 HGX20 3.116 3.035 3.116 What is the new balance of the account when marked-to- market? 16. Assume you have $18,567 in equity in your account, including a long position of 7 contracts of December wheat purchased at 487.4 cents per bushel. At close today, it was quoted at 527.3 cents per bushel. If these are standard contracts (5000 bushels), what is the new equity balance in the account, after it was marked-to-market? 17. If a futures contract is priced at $305.36 per ton for soymeal and the spot price is $301.76, what is the basis? 18. A cereal manufacturer wants to maintain costs on future deliveries of 107, 500 bushels of wheat at 567.4 cents per bushel. They notice that the hedge ratio is very close to 1, so they enter into 5,000 short contracts for October delivery at 568.1 cents per bushel, another 5,000 contracts for December delivery at 569.0 cents per bushel, another 5,000 contracts for February delivery at 570.5 cents per bushel, and, finally, for April delivery the same number of contracts at 571.4 cents per bushel. The company closes out contracts as the last trade date approaches. Holding Price all-to-Open Price ar Bay-to-Close Wheat Holdings 107.500 bulong 567.to be 586.40 bu October wheat 5.000 contracts 568cbe $60.5cbu December wheat 5.000 contacts $69.0cb570.80 tu February wheat 5.000 contacts 570Scbu April whe 5.000 571. Abu What was the cost(gain) of this hedge to the company? 19. You are a candy manufacturer, specializing in chocolate toffee (yum!). You have just received an order which requires the purchase of 13 tons of cocoa over six months. Relevant contract specs for cocoa are: Clese Pricehow Number of Contraces The Se Te Value Contract Spol US$3641 10 tous Sito US$10.00 USSM123 10 tous Silton US$10.00 May 21 10 Son USSIO.00 USS2602 10 tons Ston SS10.00 US53668 Dec 20 Mar 21 USS 2011
