FBE459_1_2b_Hull_ex_3_3_page57(1)

FBE459_1_2b_Hull_ex_3_3_page57(1) - Change_in_Fuel_Oil...

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Unformatted text preview: Change_in_Fuel_Oil Change_in_Fuel_ Change_in_Heating Oil _Oil_futures month Y X 1 2.90% 2.10% 2 2.00% 3.50% 3 -4.40% -4.60% 4 0.80% 0.10% 5 2.60% 4.40% 6 -1.90% -2.90% 7 -1.00% -2.60% 8 -0.70% -2.90% 9 4.30% 4.80% 10 1.10% -0.60% 11 -3.60% -3.60% 12 -1.80% -1.10% 13 0.90% 1.90% 14 -3.20% -2.70% 15 2.30% 2.90% Y=a+bX a (intercept) b (slope) 0.001 0.778 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% -1.00% -2.00% -3.00% -4.00% -5.00% -4.00% -2.00% 0.00% 2.00% 4.00% -5.00% -3.00% -1.00% 1.00% 3.00% 5.00 Change_in_Heating_Oil_futures fitted values Y_hat 0.0172 0.0281 -0.0349 0.0017 0.0351 -0.0217 -0.0193 -0.0217 0.0382 -0.0038 -0.0271 -0.0077 0.0156 -0.0201 0.0234 % 1.00% 2.00% 3.00% 4.00% 5.00% _Oil_futures SPREADSHEET TO EVALUATE HEDGE: position size (jet fuel - gallons): hedge ratio: futures contract size (heating oil - gallons) number futures contracts to go long: ∆S ∆F Change_in_Heating_ Oil_futures 2.10% 3.50% -4.60% 0.10% 4.40% -2.90% -2.60% -2.90% 4.80% -0.60% -3.60% -1.10% 1.90% -2.70% 2.90% 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 Profits & Losses (P&L) : Change_in_Fuel_Oil month 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 2.90% 2.00% -4.40% 0.80% 2.60% -1.90% -1.00% -0.70% 4.30% 1.10% -3.60% -1.80% 0.90% -3.20% 2.30% T TO EVALUATE HEDGE: jet fuel - gallons): ct size (heating oil - gallons) s contracts to go long: -2,000,000 (SHORT) -0.78 42,000 36.99 (LONG) use SOLVER to MIN ( cell I27) by changing (cell I6) (SHORT) P&L before hedge (2mln gallons jet fuel) -58,000 -40,000 88,000 -16,000 -52,000 38,000 20,000 14,000 -86,000 -22,000 72,000 36,000 -18,000 64,000 -46,000 (LONG) P&L of Hedge (37 long contracts P&L after hedge heating oil futures) 32,627 54,378 -71,468 1,554 68,361 -45,056 -40,395 -45,056 74,575 -9,322 -55,931 -17,090 29,519 -41,949 45,056 volatility -25,373 14,378 16,532 -14,446 16,361 -7,056 -20,395 -31,056 -11,425 -31,322 16,069 18,910 11,519 22,051 -944 5,377,629,059 100,000 before hedge P&L (2mln gallons jet f 80,000uel) P&L of Hedge (37 long contracts heating oil futures) P&L 60,000 40,000 20,000 0 -20,000 -40,000 -60,000 -80,000 -100,000 1 2 3 4 5 6 7 8 9 ER to I27) by changing (cell P&L of Hedge (37 long contracts heating oil futures) P&L after hedge 5 6 7 8 9 10 11 12 13 14 15 ...
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