Futures and Options
you will need to analyze THREE contracts.
- Go to CME Group website:
Cmegroup.com -> Data -> Delayed Quotes
- Select any ONE futures contract by navigating through various tabs:
Agriculture | Energy | Equity Index | FX | Interest Rates | Metals
Note: if you work as a group, the number of analyzed contracts should be equal the number of students in your group
- Select contract maturity. You can select any maturity but make sure that contract of that maturity is liquid enough (i.e. trading volume is > 0).
- Select a position (long or short) for your contract.
- Visit Contract Specs and report Contract Size and Price Quotation.
- Go to Settlements tab and collect 5 days of futures settlement data for your contract. Please, include the quotes in your report (copy/paste). Quotes could be truncated, as long as they show prices for your chosen contract maturity. Important: The grade of projects without quotes will be reduced.
- Assume that you open your position on the first day at the settlement price and close it on the fifth day. Assume that the size of your position is ONE contract.
- Document the price gain or loss due to marking to market every day that your position is open (you may use Excel for this but you will need to import the Tables with gain/losses into your final report file).
- Compute cumulative gain/loss for your position.
- Put together a short report that shows your selections/work for parts 1-9.