Select 2 assets (stocks, commodities, agricultural products, etc.) with futures traded in the Chicago Mercantile Exchange. Find
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Question:
- Select 2 assets (stocks, commodities, agricultural products, etc.) with futures traded in the Chicago Mercantile Exchange.
- Find the spot price of the assets and the risk-free rate from Google or Bloomberg.
- Using the futures prices of 3 different maturities, determine the aggregate of [storage cost – convenience yield] for each maturity. Use the Cost-of-Carry Model.
- Your HW should include a table like this for each of 2 assets:
Crude oil (Your asset 1)
Spot price today: $70.50
Risk-free rate today: 1.0%
[Storage cost – Convenience Yield] |
Oct 2021 (Sample Maturity 1) |
Nov 2021 (Sample Maturity 2) |
Dec 2021 (Sample Maturity 3) |
- Now, using 3 maturities you acquired above, estimate the price of a futures contract with a different maturity. Is it similar to the corresponding futures market price or not? If not, write down some of the possible reasons why the prices differ. (Since you have 2 assets, you will do this 2 times.)
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