WTI Oil futures contract specifications

Contract Size = z = 1000 barrels

n = N/z = 160000 total number of futures contracts required but spread across all contract maturities

p= 25% maximum percentage of open interest MG wishes to hold for any given maturity

Open Interest

a.) Construct a stack strategy and not exceed 25% of open interest in any chosen maturity contract.

b.) Devise a Strip strategy that employs a maximum of 160,000 WTI futures at any given contract maturity without exceeding 25% of any maturity's open interest? and without permitting more than 10% of the total required futures to have the same expiration date? using following data.

WTI Futures Open Interest Contract Maturities At Close Oct-14 266274 164051 224888 Nov-14 Dec-14 Jan-15 Feb-15 84027 45209 67529 31671 27257 118332 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 30602 22505 38129 22564 23571 Nov-15 Dec-15 152543 26141 9592 14408 5838 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 3969 35602 2485 1817 5600 1564 Nov-16 Dec-16 2255 64408 1905 Jan-17 Feb-17 205 1352 6 Mar-17 Apr-17 May-17 Jun-17 3 7952 103 3 Jul-17 Aug-17 Sep-17 Oct-17 1602 103 Nov-17 109 30117 100 0 0 0 0 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 296 0 0 0 0 100 15275 Dec-18 Jan-19 100 0 0 0 0 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 0 0 0 0 0 Nov-19 0 5626 Dec-19 Jan-20 Feb-20 0 1275 0 282 Mar-20 Apr-20 May-20 Jun-20 0 8 WTI Futures Open Interest Contract Maturities At Close Oct-14 266274 164051 224888 Nov-14 Dec-14 Jan-15 Feb-15 84027 45209 67529 31671 27257 118332 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 30602 22505 38129 22564 23571 Nov-15 Dec-15 152543 26141 9592 14408 5838 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 3969 35602 2485 1817 5600 1564 Nov-16 Dec-16 2255 64408 1905 Jan-17 Feb-17 205 1352 6 Mar-17 Apr-17 May-17 Jun-17 3 7952 103 3 Jul-17 Aug-17 Sep-17 Oct-17 1602 103 Nov-17 109 30117 100 0 0 0 0 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 296 0 0 0 0 100 15275 Dec-18 Jan-19 100 0 0 0 0 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 0 0 0 0 0 Nov-19 0 5626 Dec-19 Jan-20 Feb-20 0 1275 0 282 Mar-20 Apr-20 May-20 Jun-20 0 8