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Question: How to Notionalize a Commodity Future?

7 messages · ngottlieb at marinercapital.com, Armstrong, Whit, Edmund Jackson +1 more

Original
ngottlieb at marinercapital.com
# 
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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Armstrong, Whit
# 
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.
ngottlieb at marinercapital.com
# 
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.
Edmund Jackson
# 
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:
davidr at rhotrading.com
# 
I believe you have it.
I always encourage the use of UNITS:

(# contracts) * (contract size = 60000 lbs/contract) * (price = 36.36
cents/lb) (0.01 dollars/cent) = dollars = the current worth of you
number of contracts. Notice that the units cancel appropriately. The DES
page in Bloomberg helps here.

HTH,

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
 
312-244-4610 direct
312-244-4500 main
312-244-4501 fax
 

-----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 10:08 AM
To: whit.armstrong at hcmny.com
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?

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.
request\...{{dropped}}

_______________________________________________
R-SIG-Finance at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. 
-- If you want to post, subscribe first.
ngottlieb at marinercapital.com
# 
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:
--------------------------------------------------------

 
 
This information is being sent at the recipient's request or...{{dropped}}
ngottlieb at marinercapital.com
# 
Thanks David, appreciate it.

Have to remember it's in cents!

Sometimes with age, wisdom does not arrive!  :)

Regards,
Neil 

-----Original Message-----
From: davidr at rhotrading.com [mailto:davidr at rhotrading.com] 
Sent: Friday, June 15, 2007 12:04 PM
To: Gottlieb, Neil; whit.armstrong at hcmny.com
Cc: r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?

I believe you have it.
I always encourage the use of UNITS:

(# contracts) * (contract size = 60000 lbs/contract) * (price = 36.36
cents/lb) (0.01 dollars/cent) = dollars = the current worth of you
number of contracts. Notice that the units cancel appropriately. The DES
page in Bloomberg helps here.

HTH,

David L. Reiner
Rho Trading Securities, LLC
550 W. Jackson Blvd #1000
Chicago, IL 60661-5704
 
312-244-4610 direct
312-244-4500 main
312-244-4501 fax
 

-----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 10:08 AM
To: whit.armstrong at hcmny.com
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Question: How to Notionalize a Commodity
Future?

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.
request\...{{dropped}}

_______________________________________________
R-SIG-Finance at stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. 
-- If you want to post, subscribe first.
--------------------------------------------------------

 
 
This information is being sent at the recipient's request or...{{dropped}}