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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!
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 barrelStep by Step Solution
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