Amaranth held 40,000 long JAN 2007 NYMEX natural gas futures and 40,000 short NOV 2006 NYMEX natural

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Amaranth held 40,000 long JAN 2007 NYMEX natural gas futures and 40,000 short NOV 2006 NYMEX natural gas futures. On JAN 2006 this spread was at - $.90/unit and on SEP 1, 2006 it was - $2.60/unit. Every NYMEX natural gas futures is for 10,000 units.

Describe what Amaranth needed to do in order to close this calendar spread on SEP 1, 2006 and calculate the total P/L from so doing.

Related Book For answer-question

Fundamentals of Investments, Valuation and Management

ISBN: 978-1259720697

8th edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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Posted Date: Jun 10, 2023 12:38 AM

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Amaranth held 40,000 long JAN 2007 NYMEX natural gas futures and 40,000 short NOV 2006 NYMEX natural

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To close the calendar spread on September 1 2006 Amaranth would need to take the following actions 1 ... View the full answer

Fundamentals of Investments, Valuation and Management

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