WTI Oil futures contract specifications Contract Size = z =

WTI Oil futures contract specifications

Contract Size = z = 1000 barrels

n = N/z = 160000 total number of futures contracts required but spread across all contract maturities

p= 25% maximum percentage of open interest MG wishes to hold for any given maturity

Open Interest

a.) Construct a stack strategy and not exceed 25% of open interest in any chosen maturity contract.

b.) Devise a Strip strategy that employs a maximum of 160,000 WTI futures at any given contract maturity without exceeding 25% of any maturity’s open interest?  and without permitting more than 10% of the total required futures to have the same expiration date? using following data.

 

 

 

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