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.