Please do 2B, 2C, 2D only. 2a Excel work given below.
Question set 2 The CFO appreciates a concrete hedging analysis to validate your advice in your answer to Question 1. A dataset is collected from trading platforms and is provided for. Spot market Jet Fuel, HO1 Commodity (Future), and C01 Commodity (Future). See the data file in Excel. The file contains a description of the data series as if you are accessing the market yourself. Here are some points about the datafile, please use the updated file which is online so that you do not need to match dates. I set this already for you: PX_LAST is the last traded price for the week PX_VOLUME is the traded volume OPEN_INT is the open interest. 2 a-Estimate and interpret the minimum variance hedge ratio for each of the future commodity. Use the OLS method and comment on the significance of the results. (Support files for using regressions in OLS are provided). Use the full sample in your estimation. 2b-Discuss whether differences in the hedge ratio between the two commodities will have any effect on the effectiveness of the hedge. 2c Recommend a convenient hedging strategy to the CFO using the data provided and explain the corresponding hedging position. 2 d-What are the potential factors that may weaken your suggested strategy. Discuss 1 Dates Line Fit Plot JETINYPR Index 2 SUMMARY OUTPUT 3 Regression Statistics 4 Multiple R 0.83780758 5 R Square 0.701921542 6 Adjusted RSC 0.700385055 7 Standard Erro 19.15594027 8 Observations 196 250 200 9 150 df SS MS F Significance 6.97375E-53 1 10 ANOVA 11 12 Regression 13 Residual 14 Total 15 PX_LAST PX_LAST 194 167635.7561 167635.7561 456.8353575 71188.30922 366.9500475 238824.0654 100 Predicted PX_LAST 195 16 50 17 Intercept 18 Dates Coefficients Standard Error t Stat P-value Lower 95% Upper 95%ower 95.09pper 95.0% -3006.958424 148.7422526 -20.2158995 1.22731E-49 -3300.317939 -2713.6 -3300.32 -2713.6 0.073840981 0.003454758 21.37370715 6.97375E-53 0.067027274 0.080655 0.067027 0.080655 19 20 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates Residuals -11.61393867 -21.99082554 21 22 RESIDUAL OUTPUT 23 24 Observation redicted PX LAS 25 1 121.6839387 26 2 122.2008255 27 3 122.7177124 28 4 123.2345993 29 5 123.7514861 30 6 124.268373 31 7 124.7852599 32 8 125.3021467 33 9 125.8190336 34 10 126.3359205 35 11 126.8528073 36 12 127.3696942 -34.28771241 -29.63459927 -19.00148614 -18.988373 -17.97525987 -23.87214674 -23.6990336 - 14.70592047 -10.30280734 -8.959694204 Sheet1 JETINYPR Index Ho1 Comdty C01 Comdty + D E F H J L K N M O Q S R T V w Dates Line Fit Plot A DB C 1 SUMMARY OUTPUT HO1 Comdty 2 PX_LAST 3 Regression Statistics 4 Multiple F 0.811241752 5 R Square 0.65811318 6 Adjusted I 0.656350877 7 Standard I 19.13440338 8 Observati 196 300 250 9 F Significance F 373.43925 4.303E-47 200 10 ANOVA 11 df SS MS 12 Regressio 1 136725.591 136725.591 13 Residual 194 71028.3262 366.125393 14 Total 195 207753.917 15 16 Coefficients tandard Erro t Stat 17 Intercept -2695.78956 148.575023 -18.144298 18 Dates 0.06668667 0.00345087 19.3245763 PX_LAST 150 P-value Lower 95% Upper 95% .ower 95.0%Upper 95.0% 1.152E-43 -2988.8193 -2402.76 -2988.819 -2402.7599 4.303E-47 0.05988062 0.0734927 0.0598806 0.07349272 creamos PX_LAST Predicted PX_LAST 19 100 20 21 50 22 RESIDUAL OUTPUT 23 24 Observatioredicted PX LA Residuals 25 1 129.7246638 -19.654664 26 2 130.1914705 -24.981471 27 3 130.6582772 -37.228277 28 4 131.1250839 -31.555084 29 5 131.5918906 -26.081891 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates 30 31 32 33 6 132.0586973 -26.158697 7 132.525504 -25.595504 8 132.9923107 -30.442311 9 133.4591174 -28.339117 10 133.9259241 -17.795924 11 134.3927308 -12.592731 12 134.8595374 -10.949537 34 35 36 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready 1 D E F G H K L M N O P Q R s T U V W Dates Line Fit Plot A B C 1 SUMMARY OUTPUT HO1 Comdty 2 PX_VOLUME 3 Regression Statistics 4 Multiple F 0.015344665 5 R Square 0.000235459 6 Adjusted! -0.004917967 7 Standard 88978.39306 8 Observati 196 500000 450000 400000 9 10 ANOVA 350000 df SS MS F Significance F 1 361732848.8 361732848.8 0.045689755 0.830965234 194 1.53593E+12 7917154432 195 1.53629E+12 12 Regressio 13 Residual 14 Total 300000 PX_VOLUME 250000 15 PX_VOLUME Predicted PX_VOLUME 200000 16 17 Intercept 18 Dates Coefficients Standard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 83196.56329 690900.3908 0.120417595 0.904276974 -1279443.846 1445836.97 -1279443.85 1445836.97 3.430110437 16.04717862 0.213751621 0.830965234 -28.21921895 35.0794398 -28.2192189 35.0794398 150000 19 20 100000 21 22 RESIDUAL OUTPUT 50000 23 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates 24 Observatio dicted PX VOLU Residuals 25 1 228530.3425 -173731.342 26 2 228554.3533 115113.6467 27 3 228578.364 81899.63597 28 4 228602.3748 -89344.3748 29 5 228626.3856 -122151.386 30 6 228650.3963 91696.60365 31 7 228674.4071 84774.59288 32 8 228698.4179 -33575.4179 33 9 228722.4287 -95058.4287 34 10 228746.4394 -9851.43944 35 11 228770.4502 34477.54979 36 12 228794.461 -26009.461 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready !!! E F G H J K L M N o P Q R S T U V w Dates Line Fit Plot 180000 160000 A C D 1 SUMMARY OUTPUT HO1 Comdty 2 OPEN_INT 3 Regression Statistics 4 Multiple F 0.098079817 5 R Square 0.009619651 6 Adjustedi 0.004514597 7 Standard 40279.55392 8 Observati 196 9 10 ANOVA 11 df SS MS 12 Regressio 1 3057231422 3057231422 13 Residual 194 3.14754E+11 1622442464 14 Total 195 3.17811E+11 15 16 Coefficients Standard Error t Stat 17 Intercept -365287.9692 312763.1168 -1.16793813 18 Dates 9.971908522 7.264383793 1.372712236 19 140000 F Significance F 1.884338884 0.1714266 120000 100000 P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 0.244265074 -982140.51 251564.571 -982140.51 251564.571 0.171426598 -4.35539978 24.2992168 24.2992168 -4.35539978 24.2992168 OPEN_INT 80000 OPEN_INT Predicted OPEN_INT 60000 40000 20000 20 21 22 RESIDUAL OUTPUT 23 24 Observatiordicted OPEN_I Residuals 25 1 57221.79488 -53785.79488 26 2 57291.59824 19796.40176 27 3 57361.4016 -3180.401602 28 4 57431.20496 -23459.20496 29 5 57501.00832 -56581.00832 30 6 57570.81168 27109.18832 31 7 57640.61504 217.3849596 32 8 57710.4184 -15664.4184 33 9 57780.22176 -51598.22176 34 10 57850.02512 32199.97488 35 11 57919.82848 3382.171521 36 12 57989.63184 -7227.631839 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 | Hot Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready D E F F G H j - K L M N o P Q R S T U V W Dates Line Fit Plot 3 90 B C 1 SUMMARY OUTPUT C01 Comdty 2 PX_LAST Regression Statistics 4 Multiple F 0.77476171 5 R Square 0.600255707 6 Adjusted! 0.59819517 7 Standard I 7.498919652 8 Observati 196 9 80 70 F Significance F 291.3102436 1.73671E-40 60 10 ANOVA 11 df SS MS 12 Regressio 1 16381.4808 16381.4808 13 Residual 194 10909.35642 56.23379595 14 Total 195 27290.83721 15 16 Coefficients Standard Error t Stat 17 Intercept -935.105078 58.22769259 -16.0594562 18 Dates 0.023082918 0.001352424 17.06781309 50 PX_LAST P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 1.79767E-37 -1049.94567 -820.264491 -1049.945666 -820.26449 1.73671E-40 0.020415576 0.02575026 0.020415576 0.02575026 40 PX_LAST Predicted PX_LAST 19 30 20 10 20 21 22 RESIDUAL OUTPUT 23 24 Observatioredicted PX_LA Residuals 25 1 42.91815342 -5.638153424 26 2 43.07973385 -9.529733849 27 3 43.24131427 -14.30131427 28 4 43.4028947 - 11.2228947 29 5 43.56447513 -8.824475125 30 6 43.72605555 -9.666055551 31 7 43.88763598 - 10.52763598 32 8 44.0492164 - 11.0392164 33 9 44.21079683 -9.110796827 34 10 44.37237725 -5.652377252 35 11 44.53395768 -4.143957678 36 12 44.6955381 -3.495538103 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 | Hot Comdty Sheet2 Sheet3 Sheet4 C01 Comdity Sheets Sheet6 Sheet7 Ready LE + D E F H J K L M N O P Q R S V T w Dates Line Fit Plot C 1 SUMMARY OUTPUT co1 Comdty 2 PX_VOLUME 3 Regression Statistics 4 Multiple F 0.00606962 5 R Square 3.684E-05 6 Adjusted -0.0051176 7 Standard I 353332.087 8 Observati 196 2500000 9 2000000 10 ANOVA 1500000 11 df SS MS F Significance F 12 Regressio 1 892292325 892292325 0.00714728 0.932713001 13 Residual 194 2.422E+13 1.248E+11 14 Total 195 2.4221E+13 15 16 Coefficients tandard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 17 Intercept 1067585.65 2743556.82 0.3891247 0.6976107 -4343442.38 6478613.682 -4343442.38 6478613.682 18 Dates 5.38725716 63.7231457 0.0845416 0.932713 -120.291834 131.0663485 -120.291834 131.0663485 19 PX_VOLUME PX_VOLUME Predicted PX_VOLUME 1000000 20 21 500000 22 RESIDUAL OUTPUT 23 24 Observatioicted PX_VOL Residuals 25 1 1295843.74 -716712.738 26 2 1295881.45 96774.5514 27 3 1295919.16 -498525.159 28 4 1295956.87 512215.13 29 5 1295994.58 -168851.581 30 6 1296032.29 399800.708 31 7 1296070 296296.997 32 8 1296107.71 229996.287 33 9 1296145.42 -33738.4242 34 10 1296183.14 - 159236.135 35 11 1296220.85 295858.154 36 12 1296258.56 -7438.5566 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty Sheets Sheets Sheet7 + Ready BRA 1 D E F G H J K L M N o P Q R S T U V w Dates Line Fit Plot B C 1 SUMMARY OUTPUT C01 Comdty 2 OPEN_INT 3 Regression Statistics 4 Multiple F 0.024997016 5 R Square 0.000624851 6 Adjusted -0.004526567 7 Standard 164080.6805 8 Observati 196 700000 600000 9 10 ANOVA 500000 df Significance F 0.728009825 11 12 Regressio 13 Residual 14 Total SS 1 3265610708 194 5.22296E+12 195 5.22622E+12 MS F 3265610708 0.121296848 26922469728 400000 15 16 17 Intercept 18 Dates Coefficients Standard Error 761201.0586 1274055.447 -10.30614704 29.59181323 OPEN_INT t Stat P-value Lower 95% 0.597463054 0.550894992 -1751577.133 -0.34827697 0.728009825 -68.6691195 Upper 95% Lower 95.0% Upper 95.0% 3273979.251 -1751577.1 3273979.25 48.05682542 -68.669119 48.0568254 OPEN_INT Predicted OPEN_INT 300000 19 20 200000 21 22 RESIDUAL OUTPUT 23 100000 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/201810/27/20185/15/2019 12/1/2019 6/18/2020 Dates 24 bbservatioredicted OPEN_Il Residuals 25 1 324529.6086 -43160.6086 26 2 324457.4656 -178450.466 27 3 324385.3226 49318.67744 28 4 324313.1795 -112858.18 29 5 324241.0365 -291022.037 30 6 324168.8935 68149.10653 31 7 324096.7504 -14501.7504 32 8 324024.6074 -102282.607 33 9 323952.4644 -258303.464 34 10 323880.3214 183145.6786 35 11 323808.1783 5942.821674 36 12 323736.0353 -70005.0353 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty Sheets Sheet6 Sheet7 + Ready Question set 2 The CFO appreciates a concrete hedging analysis to validate your advice in your answer to Question 1. A dataset is collected from trading platforms and is provided for. Spot market Jet Fuel, HO1 Commodity (Future), and C01 Commodity (Future). See the data file in Excel. The file contains a description of the data series as if you are accessing the market yourself. Here are some points about the datafile, please use the updated file which is online so that you do not need to match dates. I set this already for you: PX_LAST is the last traded price for the week PX_VOLUME is the traded volume OPEN_INT is the open interest. 2 a-Estimate and interpret the minimum variance hedge ratio for each of the future commodity. Use the OLS method and comment on the significance of the results. (Support files for using regressions in OLS are provided). Use the full sample in your estimation. 2b-Discuss whether differences in the hedge ratio between the two commodities will have any effect on the effectiveness of the hedge. 2c Recommend a convenient hedging strategy to the CFO using the data provided and explain the corresponding hedging position. 2 d-What are the potential factors that may weaken your suggested strategy. Discuss 1 Dates Line Fit Plot JETINYPR Index 2 SUMMARY OUTPUT 3 Regression Statistics 4 Multiple R 0.83780758 5 R Square 0.701921542 6 Adjusted RSC 0.700385055 7 Standard Erro 19.15594027 8 Observations 196 250 200 9 150 df SS MS F Significance 6.97375E-53 1 10 ANOVA 11 12 Regression 13 Residual 14 Total 15 PX_LAST PX_LAST 194 167635.7561 167635.7561 456.8353575 71188.30922 366.9500475 238824.0654 100 Predicted PX_LAST 195 16 50 17 Intercept 18 Dates Coefficients Standard Error t Stat P-value Lower 95% Upper 95%ower 95.09pper 95.0% -3006.958424 148.7422526 -20.2158995 1.22731E-49 -3300.317939 -2713.6 -3300.32 -2713.6 0.073840981 0.003454758 21.37370715 6.97375E-53 0.067027274 0.080655 0.067027 0.080655 19 20 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates Residuals -11.61393867 -21.99082554 21 22 RESIDUAL OUTPUT 23 24 Observation redicted PX LAS 25 1 121.6839387 26 2 122.2008255 27 3 122.7177124 28 4 123.2345993 29 5 123.7514861 30 6 124.268373 31 7 124.7852599 32 8 125.3021467 33 9 125.8190336 34 10 126.3359205 35 11 126.8528073 36 12 127.3696942 -34.28771241 -29.63459927 -19.00148614 -18.988373 -17.97525987 -23.87214674 -23.6990336 - 14.70592047 -10.30280734 -8.959694204 Sheet1 JETINYPR Index Ho1 Comdty C01 Comdty + D E F H J L K N M O Q S R T V w Dates Line Fit Plot A DB C 1 SUMMARY OUTPUT HO1 Comdty 2 PX_LAST 3 Regression Statistics 4 Multiple F 0.811241752 5 R Square 0.65811318 6 Adjusted I 0.656350877 7 Standard I 19.13440338 8 Observati 196 300 250 9 F Significance F 373.43925 4.303E-47 200 10 ANOVA 11 df SS MS 12 Regressio 1 136725.591 136725.591 13 Residual 194 71028.3262 366.125393 14 Total 195 207753.917 15 16 Coefficients tandard Erro t Stat 17 Intercept -2695.78956 148.575023 -18.144298 18 Dates 0.06668667 0.00345087 19.3245763 PX_LAST 150 P-value Lower 95% Upper 95% .ower 95.0%Upper 95.0% 1.152E-43 -2988.8193 -2402.76 -2988.819 -2402.7599 4.303E-47 0.05988062 0.0734927 0.0598806 0.07349272 creamos PX_LAST Predicted PX_LAST 19 100 20 21 50 22 RESIDUAL OUTPUT 23 24 Observatioredicted PX LA Residuals 25 1 129.7246638 -19.654664 26 2 130.1914705 -24.981471 27 3 130.6582772 -37.228277 28 4 131.1250839 -31.555084 29 5 131.5918906 -26.081891 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates 30 31 32 33 6 132.0586973 -26.158697 7 132.525504 -25.595504 8 132.9923107 -30.442311 9 133.4591174 -28.339117 10 133.9259241 -17.795924 11 134.3927308 -12.592731 12 134.8595374 -10.949537 34 35 36 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready 1 D E F G H K L M N O P Q R s T U V W Dates Line Fit Plot A B C 1 SUMMARY OUTPUT HO1 Comdty 2 PX_VOLUME 3 Regression Statistics 4 Multiple F 0.015344665 5 R Square 0.000235459 6 Adjusted! -0.004917967 7 Standard 88978.39306 8 Observati 196 500000 450000 400000 9 10 ANOVA 350000 df SS MS F Significance F 1 361732848.8 361732848.8 0.045689755 0.830965234 194 1.53593E+12 7917154432 195 1.53629E+12 12 Regressio 13 Residual 14 Total 300000 PX_VOLUME 250000 15 PX_VOLUME Predicted PX_VOLUME 200000 16 17 Intercept 18 Dates Coefficients Standard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 83196.56329 690900.3908 0.120417595 0.904276974 -1279443.846 1445836.97 -1279443.85 1445836.97 3.430110437 16.04717862 0.213751621 0.830965234 -28.21921895 35.0794398 -28.2192189 35.0794398 150000 19 20 100000 21 22 RESIDUAL OUTPUT 50000 23 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates 24 Observatio dicted PX VOLU Residuals 25 1 228530.3425 -173731.342 26 2 228554.3533 115113.6467 27 3 228578.364 81899.63597 28 4 228602.3748 -89344.3748 29 5 228626.3856 -122151.386 30 6 228650.3963 91696.60365 31 7 228674.4071 84774.59288 32 8 228698.4179 -33575.4179 33 9 228722.4287 -95058.4287 34 10 228746.4394 -9851.43944 35 11 228770.4502 34477.54979 36 12 228794.461 -26009.461 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready !!! E F G H J K L M N o P Q R S T U V w Dates Line Fit Plot 180000 160000 A C D 1 SUMMARY OUTPUT HO1 Comdty 2 OPEN_INT 3 Regression Statistics 4 Multiple F 0.098079817 5 R Square 0.009619651 6 Adjustedi 0.004514597 7 Standard 40279.55392 8 Observati 196 9 10 ANOVA 11 df SS MS 12 Regressio 1 3057231422 3057231422 13 Residual 194 3.14754E+11 1622442464 14 Total 195 3.17811E+11 15 16 Coefficients Standard Error t Stat 17 Intercept -365287.9692 312763.1168 -1.16793813 18 Dates 9.971908522 7.264383793 1.372712236 19 140000 F Significance F 1.884338884 0.1714266 120000 100000 P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 0.244265074 -982140.51 251564.571 -982140.51 251564.571 0.171426598 -4.35539978 24.2992168 24.2992168 -4.35539978 24.2992168 OPEN_INT 80000 OPEN_INT Predicted OPEN_INT 60000 40000 20000 20 21 22 RESIDUAL OUTPUT 23 24 Observatiordicted OPEN_I Residuals 25 1 57221.79488 -53785.79488 26 2 57291.59824 19796.40176 27 3 57361.4016 -3180.401602 28 4 57431.20496 -23459.20496 29 5 57501.00832 -56581.00832 30 6 57570.81168 27109.18832 31 7 57640.61504 217.3849596 32 8 57710.4184 -15664.4184 33 9 57780.22176 -51598.22176 34 10 57850.02512 32199.97488 35 11 57919.82848 3382.171521 36 12 57989.63184 -7227.631839 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 | Hot Comdty Sheet2 Sheet3 Sheet4 C01 Comdty + Ready D E F F G H j - K L M N o P Q R S T U V W Dates Line Fit Plot 3 90 B C 1 SUMMARY OUTPUT C01 Comdty 2 PX_LAST Regression Statistics 4 Multiple F 0.77476171 5 R Square 0.600255707 6 Adjusted! 0.59819517 7 Standard I 7.498919652 8 Observati 196 9 80 70 F Significance F 291.3102436 1.73671E-40 60 10 ANOVA 11 df SS MS 12 Regressio 1 16381.4808 16381.4808 13 Residual 194 10909.35642 56.23379595 14 Total 195 27290.83721 15 16 Coefficients Standard Error t Stat 17 Intercept -935.105078 58.22769259 -16.0594562 18 Dates 0.023082918 0.001352424 17.06781309 50 PX_LAST P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 1.79767E-37 -1049.94567 -820.264491 -1049.945666 -820.26449 1.73671E-40 0.020415576 0.02575026 0.020415576 0.02575026 40 PX_LAST Predicted PX_LAST 19 30 20 10 20 21 22 RESIDUAL OUTPUT 23 24 Observatioredicted PX_LA Residuals 25 1 42.91815342 -5.638153424 26 2 43.07973385 -9.529733849 27 3 43.24131427 -14.30131427 28 4 43.4028947 - 11.2228947 29 5 43.56447513 -8.824475125 30 6 43.72605555 -9.666055551 31 7 43.88763598 - 10.52763598 32 8 44.0492164 - 11.0392164 33 9 44.21079683 -9.110796827 34 10 44.37237725 -5.652377252 35 11 44.53395768 -4.143957678 36 12 44.6955381 -3.495538103 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 | Hot Comdty Sheet2 Sheet3 Sheet4 C01 Comdity Sheets Sheet6 Sheet7 Ready LE + D E F H J K L M N O P Q R S V T w Dates Line Fit Plot C 1 SUMMARY OUTPUT co1 Comdty 2 PX_VOLUME 3 Regression Statistics 4 Multiple F 0.00606962 5 R Square 3.684E-05 6 Adjusted -0.0051176 7 Standard I 353332.087 8 Observati 196 2500000 9 2000000 10 ANOVA 1500000 11 df SS MS F Significance F 12 Regressio 1 892292325 892292325 0.00714728 0.932713001 13 Residual 194 2.422E+13 1.248E+11 14 Total 195 2.4221E+13 15 16 Coefficients tandard Erro t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% 17 Intercept 1067585.65 2743556.82 0.3891247 0.6976107 -4343442.38 6478613.682 -4343442.38 6478613.682 18 Dates 5.38725716 63.7231457 0.0845416 0.932713 -120.291834 131.0663485 -120.291834 131.0663485 19 PX_VOLUME PX_VOLUME Predicted PX_VOLUME 1000000 20 21 500000 22 RESIDUAL OUTPUT 23 24 Observatioicted PX_VOL Residuals 25 1 1295843.74 -716712.738 26 2 1295881.45 96774.5514 27 3 1295919.16 -498525.159 28 4 1295956.87 512215.13 29 5 1295994.58 -168851.581 30 6 1296032.29 399800.708 31 7 1296070 296296.997 32 8 1296107.71 229996.287 33 9 1296145.42 -33738.4242 34 10 1296183.14 - 159236.135 35 11 1296220.85 295858.154 36 12 1296258.56 -7438.5566 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 Dates JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty Sheets Sheets Sheet7 + Ready BRA 1 D E F G H J K L M N o P Q R S T U V w Dates Line Fit Plot B C 1 SUMMARY OUTPUT C01 Comdty 2 OPEN_INT 3 Regression Statistics 4 Multiple F 0.024997016 5 R Square 0.000624851 6 Adjusted -0.004526567 7 Standard 164080.6805 8 Observati 196 700000 600000 9 10 ANOVA 500000 df Significance F 0.728009825 11 12 Regressio 13 Residual 14 Total SS 1 3265610708 194 5.22296E+12 195 5.22622E+12 MS F 3265610708 0.121296848 26922469728 400000 15 16 17 Intercept 18 Dates Coefficients Standard Error 761201.0586 1274055.447 -10.30614704 29.59181323 OPEN_INT t Stat P-value Lower 95% 0.597463054 0.550894992 -1751577.133 -0.34827697 0.728009825 -68.6691195 Upper 95% Lower 95.0% Upper 95.0% 3273979.251 -1751577.1 3273979.25 48.05682542 -68.669119 48.0568254 OPEN_INT Predicted OPEN_INT 300000 19 20 200000 21 22 RESIDUAL OUTPUT 23 100000 0 7/15/2015 1/31/2016 8/18/2016 3/6/2017 9/22/2017 4/10/201810/27/20185/15/2019 12/1/2019 6/18/2020 Dates 24 bbservatioredicted OPEN_Il Residuals 25 1 324529.6086 -43160.6086 26 2 324457.4656 -178450.466 27 3 324385.3226 49318.67744 28 4 324313.1795 -112858.18 29 5 324241.0365 -291022.037 30 6 324168.8935 68149.10653 31 7 324096.7504 -14501.7504 32 8 324024.6074 -102282.607 33 9 323952.4644 -258303.464 34 10 323880.3214 183145.6786 35 11 323808.1783 5942.821674 36 12 323736.0353 -70005.0353 JETINYPR Index Sheet1 HO1 Comdty Sheet2 Sheet3 Sheet4 C01 Comdty Sheets Sheet6 Sheet7 + Ready
