90.2K

Verified Solution

Link Copied!

Brent Crude Oil Data Prior Day Daily Settlements for Crude Oil Futures (FINAL)Trade Date: Wednesday, 09/22/2021 Estimated Month Open High Low Last Change Settle Volume Open Interest NOV 21 74.61 76.26 74.50A 75.94B +1.83 76.19 26,876 19,075 DEC 21 73.75 75.45 73.70A 75.13B +1.82 75.39 24,735 51,208 JAN 22 73.20 74.56 73.20 74.24A +1.76 74.52 7,808 11,425 FEB 22 72.35 73.40 72.35 73.78B +1.70 73.73 3,763 8,265 MAR 22 71.78 72.75B 71.78 72.99B +1.64 73.04 5,088 10,842 APR 22 72.05 72.05 72.05 72.47B +1.58 72.43 2.326 5.440 Daily Settlements for Crude Oil Futures (FINAL)Trade Date: Friday, 09/24/2021 Estimated Prior Day Month Open High Low Last Change Settle Volume Open Interest NOV 21 77.18 78.25 76.87 78.03 +.84 78.09 22,069 17,626 DEC 21 76.46 77.40 76.07 77.18B +.77 77.23 26,914 51,880 JAN 22 75.56 76.52 75.28A 76.33B +.76 76.36 9,647 11,128 FEB 22 75.19 75.58 74.60A 75.39A +.76 75.56 6,087 8,137 MAR 22 74.36 74.83 73.80 74.69A +.75 74.86 4,550 11,257 APR 22 73.92B 74.36B +.74 74.23 3.168 5.811 Spot data: 2021/09/21 2021/09/22 2021/09/23 2021/09/24 75.28 75.82 76.63 77.83 Date 1 4 5 6 7 8 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 9 10 Futures Spot Price Price $75.34 $74.64 $75.67 $75.14 $75.46 $74.84 $73.60 $73.05 $73.51 $72.97 $72.92 $72.44 $71.45 $71.32 $72.60 $72.36 $71.69 $71.52 $72.22 $72.43 $72.61 $73.07 $73.03 $73.56 $71.59 $71.99 $71.63 $73.45 $71.70 $72.26 $70.18 $70.42 $71.28 $72.12 $70.41 $71.21 $68.37 $69.07 $64.75 $65.51 11 12 13 14 15 16 17 18 19 20 no 2. Shell Oil Refinery expects to pay for 100,000 barrel of crude oil at close of day on Friday, September 24. They want to hedge their position with crude oil futures. Assume that they enter into the position at close of day on Tuesday, September 21. 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? open. d. Document the price gain or loss every day that their position is 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

Answer & Explanation Solved by verified expert

See Answer