Light Sweet Crude Oil Futures and Options PDF Download

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Category :
Languages : en
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Description: A pamphlet, created by CME Group, providing information on their company and about the WTI (West Texas Intermediate - a light sweet crude oil stream).

Author: Thomas Hoehl
Publisher: GRIN Verlag
ISBN: 3656047715
Category : Business & Economics
Languages : en
Pages : 89

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Master's Thesis from the year 2011 in the subject Economics - Finance, grade: 8,0, Maastricht University (School of Business and Economics), language: English, abstract: This study finds that while a large part of the variation in crude oil futures prices is driven by fundamental factors, financial investment and speculation has the potential to aggravate reactions to changing fundamental variables and furthermore move prices on its own. The evidence is gathered by performing linear regressions and Granger Causality tests on futures returns, position data of different categories of futures traders on the New York Mercantile Exchange and proxies for relevant fundamental factors such as equity and exchange rate returns gathered from August 2006 to December 2010. While higher prices for crude oil naturally come along with increasing physical demand and finite world supply, future regulation might temper market volatility and guarantee that prices reflect a sustainable physical market equilibrium. The study also gives an overview of commodity market regulation and position limits on futures markets.

Author: Sally Clubley
Publisher: Woodhead Publishing
ISBN: 9781855733879
Category : Business & Economics
Languages : en
Pages : 156

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Book Description
Trading in oil futures and options is an introduction to price risk management in the worldwide oil industry. With numerous practical examples, it requires no prior knowledge and should be read by everyone involved in the industry. Although aimed primarily at those new to risk management it will also provide a useful theoretical background to more experienced managers and it will show those in other markets how the oil industry uses futures and other derivatives. This book concentrates on all the risk management tools available to everyone from crude oil producer to refined product consumer and explains the theory of futures, exchange options and over the counter trading.

Author: Christophe Chassard
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 76

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Author: George Xianzhi Yuan
Publisher: World Scientific
ISBN: 9811223211
Category : Business & Economics
Languages : en
Pages : 274

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Book Description
In 2020, the global lockdowns caused by the COVID-19, or coronavirus, pandemic had resulted in a sharp drop in demand for crude oil. This impact was so severe that on April 8, 2020, a proposal to update the Chicago Mercantile Exchange Holdings Inc. (CME) trading rule to permit negative prices was applied to CME's WTI Oil futures contracts; this led to a novel phenomenon in which the closing clearing price of WTI Oil May future was $-37.63/barrel based on fewer than 400 contracts' trading volume in the last three minutes, reflecting less than 0.2% of the total trading contracts volume on April 20, 2020. This occurrence of negative closing clearing price for CME's WTI Oil futures trading, cannot be explained simply by just the principle of supply and demand; instead, it highlights vulnerabilities caused by CME's allowance of negative price trading (based on its trading platform), a decision which brings potential and fundamental challenges to the global financial system.This event challenges not just our basic concepts of 'value' and trading 'price' of commodities and goods that underline our understanding of the framework for the invisible hand and general equilibrium theory in economics established by a few generations of scholars since Adam Smith in 1776 for market economies, but also have wider implications on the fundamentals that underpin our ideas of value and labor in the organization, activity, and behavior of civilizations and individual liberties.The scope of this book is limited to covering the impact of the negative oil futures derivatives' trading between April 20 and 21, 2020. This book focuses on exploring the issues, challenges, and possible impacts on global financial markets due to the negative clearing prices of WTI Oil futures contracts and related problems from different perspectives. Topics covered include the responsibilities and liabilities of the CME; critique to the fundamental theory of economics and the modern understanding of value and labor; and challenges to the global financial systems and businesses and introduction to new methods of application.

Author: Christian Sadrinna
Publisher: GRIN Verlag
ISBN: 3640636228
Category : Business & Economics
Languages : en
Pages : 89

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Book Description
Bachelor Thesis from the year 2010 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,2, University of Applied Sciences Essen, language: English, abstract: The financial crisis has proven how volatile markets can become within a very shor t period of time. One commodity that went through peaks and troughs is without doubt oil. A wide range of companies with business activities relying on the commodity and stable pricing, also went through highs and lows, whilst some went into liquidation. This circumstance let many companies think carefully about their risk exposure and how they effectively can manage it. This paper shows that: The main exercise to mitigate risk is a well-structured risk management operation which deliver the fundamentals for an effective usage of derivative instruments. Prior to any securing activity with swaps or options, companies must pin-point their current risk position, portfolios and their values. On this, the classical portfolio theory with the various modern extensions and portfolio analysis tools deliver a good concept for this question, however, oil has cer tain characteristics which companies need to take into consideration. Furthermore, the portfolio theory may not helping to mitigate risk that is driven by economic factors, hence, spreading risk in an essential part, but some risks can only be addressed other means. All variables may be used to derive, the hedging strategy, time horizon and trading instrument. Especially for the instruments, the paper shows a wide range of commonly used instruments and how they can be applied for distinct oil risk issues.

Author: Steven Errera
Publisher: Pennwell Books
ISBN: 9781593703264
Category : Commodity futures
Languages : en
Pages : 0

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Book Description
Trading in energy futures and options plays a key role in hedging against fluctuations in the price of energy commodities, especially crude oil and natural gas. This long-awaited new edition highlights how exchange-traded futures and options markets work and how companies can successfully use the markets in their overall strategy to increase profitability. This wide-ranging new edition offers valuable insight for young professionals and students. Discussions on market efficiency, the role of commodities in Modern Portfolio Theory, and the NYMEX introduction of Clearport are all covered in this introduction to futures markets.

Author: Annie Theriault
Publisher:
ISBN: 9780494395653
Category : Finance
Languages : en
Pages : 70

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Book Description
This thesis investigates the pricing performance of option pricing models derived from the options' underlying asset(s)' empirical time-series for a sample of oil & gas futures options and a sample of crack spread options traded at the New York Mercantile Exchange (NYMEX) in 2004 and 2005. In Chapter 2, we study the univariate time-series properties of the light sweet crude oil, New York Harbor no. 2 heating oil, New York Harbor unleaded gasoline, and Henry Hub natural gas futures contracts using price, trading volume and open interest data for the contracts expiring between 1995 and 2005. We show that the futures returns can be modeled with a nonlinear asymmetric GARCH (NGARCH) process augmented with two types of maturity effects, the Samuelson effect and contract switching effects related to hedging rollover. We use this augmented GARCH time-series process to build our GARCH option pricing model, which can be solved for prices using primal Monte Carlo simulation techniques, and find that it yields lower pricing errors than both a GARCH option pricing model without maturity effects and a constant volatility model. In Chapter 3, we examine the joint time-series dynamics of the two pairs of futures prices underlying the NYMEX crack spread options, that is the New York Harbor no. 2 heating oil/light sweet crude oil and New York Harbor unleaded gasoline/light sweet crude oil pairs. We show that these pairs of commodities are co-integrated and have time-varying volatility that can be modeled as a bivariate NGARCH process with maturity effects as identified for each asset's univariate time-series process in Chapter 2. We build our pricing model, which can also be solved for option prices using primal Monte Carlo simulation techniques, from the empirical co-integrated bivariate GARCH time-series process of these pairs of assets and find evidence in support of the inclusion of maturity effects and co-integration for pricing. Our simulation study of the bivariate GARCH option pricing model with and without co-integration shows that the co-integrated bivariate LARCH model with maturity effects is less sensitive to input and parameter values than the corresponding bivariate GARCH model without co-integration.

Author: Bassam Fattouh
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Alejandro Balbás
Publisher:
ISBN:
Category :
Languages : en
Pages : 33

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In this paper, we generalize some theoretical properties of the Stochastic Discount Factor to the imperfect market case. More precisely, we construct a reachable payoff that yields a theoretical price process lying under the actual price process and matching the price of efficient portfolios. We then apply our findings to study the efficiency of perfectly synchronized bid/ask quotes for options on the light, sweet crude oil futures contract traded at The New York Mercantile Exchange. Our results, which do not depend on any assumption about the underlying asset price dynamics, reveal the systematic presence of dominated assets and portfolios.