The spot price of oil is $27.90 per barrel.
|
Month
Click for chart
|
Current Session
|
Prior.Day
|
|
Open
|
High
|
Low
|
Last
|
Time
|
Set
|
Chg
|
Vol
|
Set
|
Op Int
|
|
Mar'16
|
30.17
|
30.61
|
27.74
|
28.22
|
14:47
|
27.94
|
-1.75
|
616184
|
29.69
|
428564
|
|
9-Feb
|
|
Apr'16
|
32.04
|
32.48
|
29.57
|
30.01
|
14:47
|
29.74
|
-1.90
|
283901
|
31.64
|
290505
|
|
9-Feb
|
|
May'16
|
33.67
|
34.20
|
31.28
|
31.66
|
14:47
|
31.41
|
-2.02
|
128001
|
33.43
|
171831
|
|
9-Feb
|
|
Jun'16
|
35.09
|
35.59
|
32.65
|
32.96
|
14:47
|
32.74
|
-2.18
|
101965
|
34.92
|
172700
|
|
9-Feb
|
|
Jul'16
|
36.06
|
36.63
|
33.71
|
33.97
|
14:47
|
33.77
|
-2.34
|
42382
|
36.11
|
71184
|
|
9-Feb
|
|
Aug'16
|
37.10
|
37.49
|
34.56
|
34.79
|
14:47
|
34.58
|
-2.45
|
20575
|
37.03
|
53799
|
|
9-Feb
|
(a) What are the futures prices (settlement) for March, June and August 2016 delivery of crude oil?
(b) Would the August 2016 price be expected to be higher or lower than March's price? Explain the quotes that are observed.
(c) Using a cost-of-carry model, estimate the implied storage cost (using a continuously compounded rate) for the August 2016 crude oil contract. Use a risk-free rate of 0.37% continuously compounded per year, and assume that expiration is at the end of the month. Is there an arbitrage opportunity? Explain.
(d) Explain the difference between volume (Vol) and open interest (Op Int).