Futures and Options
you will need to analyze THREE
Go to CME Group website:
Cmegroup.com -> Data ->
Select any ONE
futures contract by navigating through various tabs:
Agriculture | Energy | Equity
Index | FX | Interest Rates | Metals
Note: if you work as a group,
the number of analyzed contracts should be equal the number of
students in your group
Select contract maturity. You
can select any maturity but make sure that contract of that maturity
is liquid enough (i.e. trading volume is > 0).
Select a position (long or
short) for your contract.
Visit Contract Specs and
report Contract Size and Price Quotation.
Go to Settlements tab and
collect 5 days of futures settlement data for your contract. Please,
include the quotes in your report (copy/paste). Quotes could be
truncated, as long as they show prices for your chosen contract
The grade of projects without quotes will be reduced.
Assume that you open your
position on the first day at the settlement price and close it on
the fifth day. Assume that the size of your position is ONE
Document the price gain or
loss due to marking to market every day that your position is open
(you may use Excel for this but you will need to import the Tables
with gain/losses into your final report file).
Compute cumulative gain/loss
for your position.
Put together a short report
that shows your selections/work for parts 1-9.
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