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    Wa0003.

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    Ash
    The document provides a summary of a company's derivatives portfolio for January to March 2022. 1) The company has long futures contracts on crude oil for each month with a notional value of 42 million USD per contract. 2) Mark-to-market calculations are provided for open contracts on January 31st showing profits ranging from 18.7 to 23.8 million USD. 3) Initial margins deposited and available margins are shown, with total available margin of 53.8 million USD on deposits of 126 million USD.

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    © All Rights Reserved
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    Wa0003.

    Uploaded by

    Ash
    25 views7 pages
    The document provides a summary of a company's derivatives portfolio for January to March 2022. 1) The company has long futures contracts on crude oil for each month with a notional value of 42 million USD per contract. 2) Mark-to-market calculations are provided for open contracts on January 31st showing profits ranging from 18.7 to 23.8 million USD. 3) Initial margins deposited and available margins are shown, with total available margin of 53.8 million USD on deposits of 126 million USD.

    Original Title

    DOC-20220315-WA0003.

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    The document provides a summary of a company's derivatives portfolio for January to March 2022. 1) The company has long futures contracts on crude oil for each month with a notional value of 42 million USD per contract. 2) Mark-to-market calculations are provided for open contracts on January 31st showing profits ranging from 18.7 to 23.8 million USD. 3) Initial margins deposited and available margins are shown, with total available margin of 53.8 million USD on deposits of 126 million USD.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    25 views7 pages

    Wa0003.

    Uploaded by

    Ash
    The document provides a summary of a company's derivatives portfolio for January to March 2022. 1) The company has long futures contracts on crude oil for each month with a notional value of 42 million USD per contract. 2) Mark-to-market calculations are provided for open contracts on January 31st showing profits ranging from 18.7 to 23.8 million USD. 3) Initial margins deposited and available margins are shown, with total available margin of 53.8 million USD on deposits of 126 million USD.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 7

    PRM- MBA (F) Balch 2o20 -AR:Jan-2

    OCle1
    Cl. NO af Short or Initial
    CUmtoacts Lom M4TqiM
    Jam Contsack 2 Long 4200o0o
    Feb Comtsu ct 2 8 Long 4200o oo
    Mar Con toac 28 Lons 420000o

    TOTAL 34 26,00o oo
    T2 MJRS LIM L2M
    Jan feb MaTcM
    OuanH7 eqd. looo0o 00000 0ogod K4
    Hedqing C/
    yanti47 to be
    Hedqed 70000 Jo00d
    omtsct Sizelk) Rsoo asoo
    No o Cmtoeicts 28 23 28
    Masgin Der Cwntsac ,So, O00
    Tota M439n 23X1SOpoo X3.
    4200000 X3 =LR60qoo0
    C27 SpoT (S) 720/kq. , V= S'%, u t:SYo
    Time to expiay : 2 2 50, and 81 days.
    Futyreprice an_loli/222 Fu TRE R RZCE
    ContiicE (0-0S+0.01s )xo.06024
    JOm yary 120x e = 722.83 IM
    Felb5yay 720 xel0S+0*01s)
    X0.13 726.44 IM
    March 720x e
    CO.OS +0.015) XO.232 = 730.47 IM

    C31.
    basis bqsis =ST Fr
    -

    Ejecive Price=dI+
    Mak Jum Comtauck On o/ 748 +L720-18)=B5%
    IM4 Feo Contoa ct 0m Rol2 = tS2 +[690-69s-41=}53 6
    MK
    Mar Comtsuct om 3o/3 +55 +C738-139.6]=ss.4
    41The Company cilbe 3ubject do mdrqim cau ahey
    Mangin available alls belo Main tenance Magim
    Initial M4sqin AVoi lable Ma3gin
    depo siied on Cauul
    31/12 amoumt MaaR
    Jo/1/22
    Jan. Conttact 42 L 21 L 2 6 L CI
    feo. Conrsack 42 L 19.6 L 14-0 L CI
    Mur. Com tiac 42 L 18.2 L IS.4 L C

    TOTAL 12.6 L 53.8 L 42.0 L Ci


    C'oo,o0o 5 Feb
    1 Tonitial M95qIn MQY
    42 L 242 L 42 L
    2- MAint Marqin
    (12000o y 28) 33.6 33.6 33.6
    3- M2M Loss 2 1 0"A - 22 »4
    23.8
    4 Mq5qi) Coll mt 2 6 14.0 IS.4
    Avai lab le Marqin= Iniial MqTqin- M2M Loss

    utu7 Poi ceo/ -Juise Paice 31/12J


    x Lot size x No. af Lots
    =18 743 ]x 2s00 x 28
    - 2,00,O0o
    OeSTrON-2 L35 Maaks]
    SuMN ARY

    DcHeS 31-Dec -21 13-JavM-22


    SpPOT(So) 1/20
    Days to Ex pis y (7) 28 (0-064 IS(o-04 I1)
    STaikeS O40 I100 11 60 040 1100 I160
    Poemium 4 8 52 24
    Volai lidY 316 344 327F
    3MaoKS 4MaoKS 4 MqOKS
    o N 13-1-22]
    loo CE 40CE 60 CE
    NA0 Vo laitity 0 344 -316 324
    C2 O 32 B 0390 -0 46S 2
    C2d2 RS4 .619 -0.S3IS
    (2 N(4 0 8so 321
    C2 N (d2) 0 600 O 63 2 .217
    So NCdi s24 3S4
    KeNcd 2) %63- 344-4
    2 Cal price 434 S
    CO. (loo CE
    C=SoNCdi) e TCd 2
    d i m ) + (T+ST
    6VT
    d = d, -6 NTT
    n ( 1 ) + (o-os+0.133
    22
    xo-04
    344 X VO O4
    m(:o18 2) + O OO4S
    .o697 3233|
    de =
    0.323 -

    0:3434 Vo-041T =0.253s


    NCdi) = N(0.3233
    N(o 32)+0.33 N(o33) -N(0-32)
    =

    =0.626+033 Co.629 0-626] -

    N(d)= O.62701
    N(d2) N(0-2s3s )
    = N (02s)+0 3s (N (0:26)- N(0-2s) )
    0:sg9 0 3s x (0.603- 0 sq9)
    N Cd2 0.6o04
    So NCdi) - Ke N (de)
    C
    -0.0S X0-041
    = I120 y0 6270 (100e x06004
    6s8.S
    C = 43.24

    (2 Jo4-0 CE J
    d Ino )+(0os+ )x0-041
    0 346 X0-04 1
    n (1039)+ 0-00s =
    034
    O 0762

    039 0 316x V0-04T1=0.9629


    NCd)= NC1034o )
    N(I03)+0.goN(104)-N(1:03)
    =0.843 +0 9oL0 LSI - 0 6483]
    N(d) 08so+)
    NCd2) = N09624 )
    N (046)+0:24 NO-41) - N(0-46

    = 0.831+0.29 (0.834 - 0-831)

    NG) = 0-831g
    -0-OS XO 04|1
    C= I20 X0 8soT-040e XO.8319
    9524 - 863.4

    (3 160 CE
    SAMG METHOOD
    C2 Bateodly Pdeud
    Short Shoar
    Cu Cau
    Long
    Cu Cau
    |I0oCE I0oCE o4o Ce 160CE
    (TM) CATM) (ITM) (OTM)
    2 ComtoaCt Contouct I Contsac

    KOSEE_
    IloocE O4o CE T6oCENET
    Cost o BuYing
    31/12 (21) 94.5 -24 -t4-8s
    pnce foom
    Seun4 -86.46 33.94 1416 144+
    C13/1133
    2.62
    XTNO CmtaacHS 52 x2 XX3SO
    TWO Comtact cts 43.24 X 2
    C3 qnd A THEORY
    C51 TWO-STeP BIoNaMTAL

    1OO STATKE
    So I03 Spor
    T 28days 6t= 4 days= 0.0384 yTs
    0.OS

    O 3453
    SV6t
    0t0
    d V .935
    0-50
    Sou amd Jy
    I180, 1 S
    Sed amd
    031, 69.36
    Se4amd fuy
    Sod and fdd 64, 136
    So4d omd sid I103, 3
    O phon Poemium ZS.36

    P=e
    O.0S o 0384
    -0.3s
    -d I0o-0.93sSoq
    O.50 So|IOo

    So4-180
    Mar k-ST,
    -O-0S X03s4 0,\
    S0I03 Soud=Il03
    3S36
    ud3
    -Sx0-5+61-34x0-s Sod103
    X eoS Xd:6364
    64-36
    Kos0oxo 364 Sod964
    3x0 5+ 136xo5
    N 136
    Nax [k-sr,o1.
    CS par-CaLL pARTTY

    Caul pu/SPot poodit/LslL


    ShaotLn9 aST- So6
    Rast Posi tiem CALL SHORT 348
    SeUnd posihiom parLong 33.3
    Thind position SPoT Long +3970

    Overau potdlthgse 5-7


    T
    puT- cALL PARITY: C+Ke: P+So
    O.aS x O.016+
    52+Iloo xe
    CAJ qmd
    33.3 + Il03
    B1
    (A) Il4.8 136:3 CB)
    Poattotio-A is over valued cmpaged to Por-8
    Sell Poat-A Omd Buy poat-3
    -Shoat call Long puE
    Lomg ASeH
    PROFIT peR SHARE N4T-8 I136.3
    (Consideaing 1Hesest) I-S

    Shot
    PRPROGIT PGR SMARE Cau 52+lioo- Ls6o)
    Lw/o Tntedest] 343
    Long paut 33.3
    Long Asset CIsoo Ilo3)
    +397
    oyeT alu IS.7

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