HedgingStrategiesUsingFutures-国立彰化师范大学-师.pptVIP

Suppose that in April 2007 a company realizes that it will have 100,000 barrels of oil to sell in June 2008 and decides to hedge its risk with a hedge ratio of 1.0. (In this example,we do not make the “tailing” adjustment described in Section 3.4.) The current spot price is $69. The company therefore shorts 100 October 2007 contracts. In September 2007 it rolls the hedge forward into the March 2008 contracts . In February 2008 it rolls the hedge forward again into the July 2008 contract. The October 2007 contract is $68.20 $67.40 ( per barrel)