Определить суточный доход, кумулятивный доход, маржинальный счет

Contract size = 1

Price quotes – Rub per Contract

Initial Margin = 5428 Rub

Maintenance Margin = 0.75% of Initial Margin

Trader has short position in 2 FC

Ответ на задачу 1

1) see the table below

2) 25/03/2015

Day	Futures price	Daily Gain (Loss)	Cumulative Gain (Loss)	Margin Account Balance	Margin Call	IM	MM
04.03.2015
05.03.2015		-908	-908
06.03.2015		-1052	-1960
10.03.2015		-740	-2700
11.03.2015
12.03.2015
13.03.2015
16.03.2015
17.03.2015
18.03.2015
19.03.2015		-2740
20.03.2015		-2980
23.03.2015		-1814	-834
24.03.2015		-902	-1736
25.03.2015		-984	-2720

Задача 2

In October, Company A becomes concerned about the impact of a cold winter on natural gas prices and purchases natural gas futures with January maturity. In October, the natural gas spot and natural gas futures were both trading at USD 12.20.

In November, Company A purchases the natural gas it needs for the cold season in the spot market. Since Company A has purchased the natural gas it needs, it can then close out the futures position by selling the futures it owns at the exchange.

Calculate the effective purchase price of natural gas for Company A for two alternatives

Определить эффективную цену покупки природного газа.

Alternative A – natural gas prices increased: in Novemberthe natural gas spot price was USD 13.70 and the January futures contracts traded also at USD 13.70.

Alternative B – natural gas prices decreased: in Novemberthe natural gas spot price was USD 10.20 and the January futures contracts traded also at USD 10.20.

Ответ на задачу 2

Alternative A – natural gas prices increase

In November, the natural gas spot price was USD 13.70 and the January futures contracts traded also at USD 13.70. Since Company A has purchased the natural gas it needs, it can then close out the futures position by selling the futures it owns at the exchange.

By buying the futures at USD 12.20 and selling the futures at USD 13.70, the company has realized a profit of USD 1.50 on the futures position. This profit offsets the price increase in the spot price of natural gas. Thus, the net cost to Company A for purchasing the natural gas on the spot market is USD 13.70 less the realized profit on the futures contracts, USD 1.50. For Company A, the effective purchase price of natural gas is USD 12.20.

 

Prices increase	Spot	January Futures Contract
November (cold season)	USD 13,7	USD 13,7
	1. Buys NG in the spot market	2. Close out Fut. Position by selling Futures
	- USD 13,7	-12.20 + 13,7 = USD 1,5
	Net cost of purchasing NG	Profit
Effective purchase price of NG = USD 12,20 (-13.7+1.5 - -12.2)

 

Alternative B – natural gas prices decrease

In November, the natural gas spot price was USD 10.20 and the January futures contracts traded also at USD 10.20. Since Company A has purchased the natural gas it needs, it can then close out the futures position by selling the futures it owns at the exchange.

By buying the futures at USD 12.20 and selling the futures at USD 10.20, the company has realized a loss of USD 2.00 on the futures position. This loss offsets the price increase in the spot price of natural gas. Thus, the net cost to Company A for purchasing the natural gas on the spot market is USD 10.20 plus the realized loss on the futures contracts, USD 2.00. For Company A, the effective purchase price of natural gas is USD 12.20.

 

Prices increase	Spot	January Futures Contract
November (cold season)	USD 10,2	USD 10,2
	1. Buys NG in the spot market	2. Close out Fut. Position by selling Futures
	- USD 10,2	-12.20 + 10,2 = - USD 2
	Net cost of purchasing NG	Loss
Effective purchase price of NG = USD 12,20 (-10.2-2= - 12.2)

Задача 3

 

An airlines company wishes to hedge their annual 2,000,000 gallons jet fuel requirement.

They fear that the price of jet fuel will rise. Unfortunately, there exists no jet fuel futures contract. However, a futures contract for heating oil trades at the NYMEX (New York Mercantile Exchange) and, it is known that jet fuel is a derivative of heating oil. The contract size of the NYMEX heating oil contract is 42,000 gallons.

The airlines company collects 15 month’s worth of data on spot jet fuel (S) and heating oil futures (F) prices.

 

Month	∆ in Future Price (∆F)	∆ in Spot Price (∆S)
	0,021	0,029
	0,035	0,02
	-0,046	-0,044
	0,001	0,008
	0,044	0,026
	-0,029	-0,019
	-0,026	-0,01
	-0,029	-0,007
	0,048	0,043
	-0,006	0,011
	-0,036	-0,036
	-0,011	-0,018
	0,019	0,009
	-0,027	-0,032
	0,029	0,023

The standard deviation of spot jet fuel price is 0.0263, the standard deviation of heating oil futures prices is 0.0313, the correlation coefficient between the prices is 0.928.

Calculate the optimal number of heating oil futures contracts to hedge against changes in jet fuel prices.