Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

I seem to struggle with these problems, could you please help and show me how you find the answers. Thank you! Date 25-Jan-16 Futures Spot

I seem to struggle with these problems, could you please help and show me how you find the answers. Thank you!

image text in transcribed Date 25-Jan-16 Futures Spot Price Price $30.34 $29.82 22-Jan-16 $32.19 $30.46 21-Jan-16 $29.53 $27.59 20-Jan-16 $28.35 $26.01 19-Jan-16 $29.57 $27.36 15-Jan-16 $30.39 $28.80 14-Jan-16 $32.11 $28.84 13-Jan-16 $31.39 $28.58 12-Jan-16 $31.52 $29.14 11-Jan-16 $32.52 $30.14 8-Jan-16 $34.32 $31.67 7-Jan-16 $34.49 $33.57 6-Jan-16 $35.20 $33.89 5-Jan-16 $37.18 $35.56 4-Jan-16 $37.95 $36.28 31-Dec-15 $38.17 $36.61 30-Dec-15 $37.64 $35.65 29-Dec-15 $38.86 $36.85 28-Dec-15 $37.82 $37.08 24-Dec-15 $39.11 $37.22 23-Dec-15 $38.42 $35.79 Crude Oil Data Daily Settlements for Crude Oil Futures (FINAL)Trade Date: Wednesday, 01/27/2016 Estimated Prior Day Month Open High Low Last Change Settle Volume Open Interest MAR 16 30.55 32.84 30.14 32.16 +.85 32.30 753,030 596,640 APR 16 32.00 34.30 31.65 33.63A +.86 33.76 181,779 195,338 MAY 16 33.27 35.58 33.04 34.92 +.85 35.07 97,809 113,328 JUN 16 34.42 36.63 34.13 35.97 +.85 36.12 85,367 167,364 JLY 16 35.54 37.46B 35.03 36.87 +.86 36.98 31,234 54,764 AUG 16 36.14 38.05 35.86A 37.43B +.87 37.66 18,046 39,993 Daily Settlements for Crude Oil Futures (FINAL)Trade Date: Friday, 01/29/2016 Estimated Prior Day Month Open High Low Last Change Settle Volume Open Interest MAR 16 33.70 34.40 32.65 33.74 +.40 33.62 643,781 608,831 APR 16 35.20 35.93 34.29 35.41 +.57 35.28 188,372 205,449 MAY 16 36.47 37.29 35.75 36.86 +.75 36.78 87,002 118,435 JUN 16 37.39 38.37 36.88 38.06 +.91 38.00 98,121 172,876 JLY 16 38.38 39.22 37.82 38.99 +1.04 38.99 30,033 59,105 AUG 16 39.30 39.92 38.57 39.62 +1.12 39.75 16,529 40,898 Spot data: 2016/01/26 2016/01/27 2016/01/28 2016/01/29 30.94 31.83 33.01 33.14 1. Shell Oil Refinery expects to pay for 100,000 barrel of crude oil at close of day on Friday, January 29th. They want to hedge their position with crude oil futures. Assume that they enter into the position at close of day on Tuesday, January 26th. The size of one crude oil futures is 1,000 barrel. Futures and spot data is provided in the file HW2_data.doc. a. Describe the position they should enter (long or short, contract month). b. Compute the hedge ratio using data from HW2_data.xls file. c. How many contracts do they need to buy or sell? d. Document the price gain or loss every day that their position is open. e. What is the total cost after they have closed out their futures position, and made their payment? f. What is the effective cost per barrel

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Fundamentals Of Multinational Finance

Authors: Michael Moffett, Arthur Stonehill, David Eiteman

6th Edition

0134472136, 978-0134472133

More Books

Students also viewed these Finance questions

Question

What is a residual plot?

Answered: 1 week ago