The commodities tag has no wiki summary.
2
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1answer
140 views
How does the CME set margin requirements on commodity Futures
I am trying to model margin requirements on various commodity futures, however it doesn't seem that the CME has released the formula they use to set these performance bonds. I am sure that they use ...
4
votes
3answers
216 views
How to implement a long-term trade on oil?
I believe that one of the most compelling case of long-term trade is the long position on oil. Fundamentally, it seems quite clear that demands is going to grow in the future as emerging markets start ...
4
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2answers
205 views
How to think about pricing this weather call option
So as opposed to the normal structure using a reference temperature and HDD/CDD, I'm looking at pricing a call option with a structure similar to the following:
Daily option on maximum daily ...
6
votes
3answers
337 views
Should the average investor hold commodities as part of a broadly diversified portfolio?
Many mutual funds sell "asset allocation" products which include appropriately sized investments in a variety of asset classes meant for a prototypical investor. Some of these, such as PIMCO, even ...
5
votes
1answer
3k views
What is a Heat Rate Option?
I tried a search with google but I can't find a clear definition of what a Heat Rate Option is. I would appreciate if someone could explain to me what this type of option is. My understanding is that ...
0
votes
1answer
202 views
What would be the impact of the US Credit Rating downgrade on Crude Oil Prices? [closed]
From a modeling point of view, here are my primary assumptions for Monday:
a) I would expect the US$ to depreciate and crude oil to rise in the long term.
b) Expect crude oil to dip in the short run ...
4
votes
2answers
311 views
Commodity hedging in non-financial companies - any literature available?
Seems like the vast majority of all the Hedging literature is dedicated to the speculative side of it. I am searching for quality papers that deal with the link between financial and physical markets ...
