Lecture22

Lecture22 - Exchange) contract size: 1000 barrels, open...

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Lecture 22 : Stock Index, Oil and Other Futures Markets Economics 252, Spring 2008 Prof. Robert Shiller, Yale University
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Stock Price Index Futures • Cash settlement rather than physical delivery • Settlement is 250*(Index t -Futures t -1 ) • Fair value:
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Oil Futures • Crude light sweet oil (New York Mercantile
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Unformatted text preview: Exchange) contract size: 1000 barrels, open interest 431,000 contracts. Physical delivery. Brent crude, North Sea (International Petroleum Exchange, London) contract size: 1000 barrels, open interest 232,000 contracts Light Sweet Crude Futures Term Structure 2003,4,5,6,8 Oil Prices 1871-2008...
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This note was uploaded on 02/08/2012 for the course ECON 252 taught by Professor Robertshiller during the Spring '08 term at Yale.

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Lecture22 - Exchange) contract size: 1000 barrels, open...

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