1. Homework number 3. Due in class on WED Feb 17.
1 of 2 pages
Homework number 3.
Due in class on WED Feb 17. Q Q Q Q Q
Q6. Define: i. Daily trading volume.
ii. Open interest.

2. 2 of 2 pages
Q7. Suppose that A is an individual investor and OL represents other investors. All the investors who hold short positions are denoted by SH.
Currently, A holds 1,000 contracts long and OL holds 4,200 long contracts.
Starting with the current holdings, determine the holdings of A, OL, SH, as well as the volume and the Open Interest after each of the following transactions and the end result:
Day 0. Current holdings.
Day 1. A shorts 500 contracts and OL longs 500 contracts
Day 2. A longs 700 contracts and OL shorts 700 contracts
Day 3. A longs 200 contracts and SH shorts 200 contracts
Day 4. A shorts 800 contracts and SH longs 800 contracts
Q8. On MAR 15 the JUL WTI futures is traded on NYMEX for $85/barrel and the SEP WTI futures on NYMEX is traded for $87/barrel. A Speculator decides to open a Calendar spread. The speculator expects the Spread to widen relative to the current spread so she wishes to buy the current spread.
8.1 What futures positions are opened by the speculator on MAR 15?
8.2 On JUN 2 the JUL WTI futures on NYMEX is traded for $80/barrel and the SEP WTI futures on NYMEX is traded for $85/barrel. What positions must the speculator take in order to exit the market?
8.3 Calculate the speculator’s per barrel profit/loss.