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The Wall Street Journal gives futures prices for crude oil on September 6, 2006: Maturity Oct Dec Futures price ($/barrel) 67.50 69.60 72.66 Jun 07
The Wall Street Journal gives futures prices for crude oil on September 6, 2006: Maturity Oct Dec Futures price ($/barrel) 67.50 69.60 72.66 Jun 07 Dec 07 73.49 and the spot price of oil is $67.50/barrel. Use the interest rates you found in the previous problem a) Compute the net convenience yield (in effective annual rate) for these maturities. (You can use the market information provided in the above problem.) b) Briefly discuss the convenience yield you obtained. The Wall Street Journal gives futures prices for crude oil on September 6, 2006: Maturity Oct Dec Futures price ($/barrel) 67.50 69.60 72.66 Jun 07 Dec 07 73.49 and the spot price of oil is $67.50/barrel. Use the interest rates you found in the previous problem a) Compute the net convenience yield (in effective annual rate) for these maturities. (You can use the market information provided in the above problem.) b) Briefly discuss the convenience yield you obtained
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