Question: How to Notionalize a Commodity Future?
Edmund: Yeah we made mistake that prices on CBOT are in cents. Thus for Corn data we pulled 374.5 we should have Converted to cents = 3.745. Just an FYI for everyone to avoid my dotard mistake! :) http://www.cbot.com/cbot/pub/cont_detail/0,3206,1272+17391,00.html Corn, Wheat, Soybeans, Oats 4 Digit Price Quote First 3 digits are cents per bu Fourth digit is 1/8 cent/bu Tick size is ? cent/bu 7350 = $7.35/bushel 7352 = $7.35? 7354 = $7.35? 7356 = $7.35? 7360 = $7.36 Soybean Oil = cents per lb. 2679 = $0.2679/lb Neil -----Original Message----- From: Edmund Jackson [mailto:ejackson at globaladvisors.co.uk] Sent: Friday, June 15, 2007 11:31 AM To: Gottlieb, Neil Cc: whit.armstrong at hcmny.com; r-sig-finance at stat.math.ethz.ch Subject: Re: [R-SIG-Finance] Question: How to Notionalize a Commodity Future? Neil, I think you might be multiplying the price in twice there. I would say its num_contracts * contract_size * price_of_underlying ie for Nymex Crude value of N contracts = N * 1000 * $68 Edmund
ngottlieb at marinercapital.com wrote:
Whit:
Thanks for your quick response.
I tried doing this:
# of contracts x contract price x contractsize x underlying price of
the contract size (ie. 18,000 bushels at whatever amount).
Contracts Price Quote
Units Contract size cents/per pound
BOK7 Comdty SOYBEAN OIL FUTR May07 200 32.48
lbs. cents/lb. 60,000.00 .01
I am not sure if this is correct to get notional value?
Neil
-----Original Message-----
From: Armstrong, Whit [mailto:whit.armstrong at hcmny.com]
Sent: Friday, June 15, 2007 10:56 AM
To: Gottlieb, Neil
Cc: r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?
notionalize?
If you are talking about the notional value of a conctact it's just
price * contract size, but sizes are specific to each contract. you
can get this information from the exchanges or from BBG.
-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of
ngottlieb at marinercapital.com
Sent: Friday, June 15, 2007 10:49 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?
Does anyone know how to notionalize a commodity future (i.e CBT Corn,
CBT Soybean etc.)?
And if so what is the calculation?
Thanks,
Neil Gottlieb
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