Baran

 

AIM 11: Discuss factors that impact gold, corn, natural gas, and crude oil futures prices.

1、Consider the factors that affect the price of futures contracts on various commodities. Which of the following statements does not accurately describe the relationship between a commodity’s futures price and its underlying factors?

A) Natural gas is produced relatively consistently but has seasonal demand, causing the futures price to rise steadily in the fall months, since natural gas is too expensive to store.

B) The cost of storing corn, which has relatively constant demand, causes the futures price to rise until the next harvest at which point the price falls.

C) Relatively constant worldwide demand for oil and its ability to be cheaply transported keep oil prices relatively stable in the absence of short-run supply and demand.

D) Gold futures have an implicit lease rate which, because it is not actually paid by commodity borrowers, creates incentive to hold physical rather than synthetic gold as ideal strategy to gain gold exposure.

Baran

 

The correct answer is B

 

The owner of a commodity is able to create a range of no-arbitrage prices as follows: .

The lower bound adjusts for the convenience yield and therefore explains why forward prices may appear lower at times when the convenience yield is not accounted for. The upper bound depends on storage costs but not on the convenience yield.

Baran

 

2 、Suppose the owner of a commodity decides to lend out the commodity. If the commodity has a continuously compounded convenience yield of c, proportional to the value of the commodity, which of the following best represents the lowest forward price?

Baran

 

The correct answer is B

 

The implied storage cost for October is calculated as follows:

Baran

 

AIM 8: Explain the impact storage costs and convenience yields have on commodity forward prices and no-arbitrage bounds.

 

1、If the October 2005 spot price for natural gas is 5.171, the annual risk-free rate of interest is 5 percent, and the November forward price is 5.253. What is the natural gas implied storage cost for the month of October?

 

A) 0.043.

 

B) 0.060.

 

C) 0.057.

 

D) 0.075.

Baran

 

The correct answer is A

The 6-month forward rate is calculated as follows:

Baran

 

3、Which of the following is TRUE in normal backwardation? Futures prices tend to:

 

A) fall over the life of the contract because hedgers are net short and have to receive compensation for bearing risk.

 

B) fall over the life of the contract because speculators are net short and have to receive compensation for bearing risk.

 

C) rise over the life of the contract because hedgers are net long and have to receive compensation for bearing risk.

 

D) rise over the life of the contract because speculators are net long and have to receive compensation for bearing risk.

Baran

 

The correct answer is D

 

Normal backwardation means that expected futures spot prices are greater than futures prices. It suggests that when hedgers are net short futures contracts, they must sell them at a discount to the expected future spot prices to get speculators to assume the risk of holding a net long position. The futures price rises over the life of the contract, which compensates speculators for the exposure of their long positions.

Baran

 

2、The expected spot rate in six months for a commodity is $24. The annual lease rate is 6 percent for the commodity. The appropriate continuously compounding annual risk-free rate for the commodity is equivalent to 7 percent. What is the 6-month commodity forward rate?

 

A) $24.12.

B) $23.91.

C) $24.00.

D) $24.22.

Baran

 

The correct answer is D

 

The lease rate is the amount that a lender requires as compensation for lending a commodity. In determining the price of a commodity futures contract, the lease rate, δl, is subtracted from the risk-free rate, r, as follows:

 

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[2008]Topic 23: Commodity Forwards and Futures相关习题

2009-6-26 14:09

Assuming a positive lease rate, the lease rate effectively reduces the futures price, all else constant. This also assumes that there is an active market for lending the commodity underlying the futures contract. The lease rate can only be earned by actually lending the underlying commodity.

[此贴子已经被作者于2009-6-26 14:09:57编辑过]