Commodity 练习题

Question 1

3.2 Commodity Futures

Exercise 1

Answer 1

Question 2

3.2 Commodity Futures
Exercise 2

Answer 2

Question 3

3.2 Commodity Futures
Exercise 3

Answer 3

Question 4

Exercise 4
Question: Explain carefully the meaning of the terms convenience yield and cost of carry. What is the relationship between futures price, spot price, convenience yield, and cost of carry?

Answer 4

Question 5

3.2 Commodity Futures
Exercise 5

Answer 5

Question 6

3.2 Commodity Futures
Exercise 6

Answer 6

Question 7

3.3 Commodity Options
Exercise 7

Answer 7

Question 8

3.3 Commodity Options
Exercise 8

Question: Explain the difference between writing a put option and buying a call option. How does the payoff structure differ between the two?

Answer 8

Question 9

3.3 Commodity Options
Exercise 9

Question: Explain why margins are required when clients write options but not when they buy options.

Answer 9

Question 10

3.3 Commodity Options
Exercise 10
Question: Explain the difference between a call option on gold and a call option on gold futures.

Answer 10

Question 11

3.3 Commodity Options
Exercise 11

Answer 11

Question 12

3.3 Commodity Options
Exercise 12

Answer 12

Question 13

3.3 Commodity Options
Exercise 13

Answer 13

Question 14

3.3 Commodity Options
Exercise 14

Answer 14

Question 15

3.3 Commodity Options
Exercise 15

Answer 15

Question 16

3.3 Commodity Options
Exercise 16

Answer 16

Question 17

Commodity Basics
Exercise 17

Question: Please explain the difference between hedging, speculation, and arbitrage.

Answer 17

Question 18

Repetition Exercises
Exercise 18

Question: Under what circumstances are (a) a short hedge and (b) a long hedge appropriate?

Answer 18

Question 19

Repetition Exercises
Exercise 19

Answer 19

Question 20

Exercise 20
Question: What is the difference between the forward price and the value of a forward contract?

Answer 20

Question 21

Exercise 21
Question: A futures contract is used for hedging. Explain why the daily settlement of the contract can give rise to cash flow problems.

Answer 21

Question 22

Repetition Exercises
Exercise 22

Answer 22

Question 23

Repetition Exercises
Exercise 23

Answer 23

Question 24

Repetition Exercises
Exercise 24

Answer 24

Question 25

Repetition Exercises
Exercise 25

Answer 25

Question 26

Exercise 26

Answer 26

Question 27

Exercise 27
Question: The futures price depends on the spot price, convenience yield, cost of carry and inventories. Please explain Backwardation and Contango in this context?

Answer 27

Question 28

Exercise 27
Question: Which option and futures strategies are available for commodity buyers and sellers?

Answer 28

Question 29

Exercise 28

Question: Please explain the concept of commodity cost curve at the thermal coal example below. What is the relationship between marginal cost and long-dated commodity prices?

Answer 29

Question 30

Exercise 29
Question: What are the rationales for investing in commodities? Please provide explanations why this is the case?

Answer 30

Question 31

Exercise 30
Question: When do commodities outperform/underperform other asset classes throughout the economic cycle? What are the reasons for that?

Answer 31

Question 32

Exercise 31
Question: What are the return components of commodity investments?

Please describe each component.

Answer 32

Question 33

Exercise 32

Answer 33

Question 34

Exercise 33
Question: Distinguish between the terms open interest and trading volume.

Answer 34

Question 35

Exercise 34

Please calculate for traders A to E, open interest and Position size for the trading activity on day 1 to day 5.

Answer 35

Question 36

Exercise 35
Question: Why is open interest assumed to be an useful barometer for trend detection?

Answer 36

Question 37

Exercise 36
Question: Explain why the futures price of gold can be calculated from its spot price and other observable variables whereas the futures price of copper cannot?

Answer 37