- Go to the EIA website (Spot Prices) and find WTI - Cushing, Oklahoma daily spot price data.
- Go to the EIA website (NYMEX Futures Prices) and find WTI - Cushing, NYMEX daily Futures Prices (Contract 1).
- Extract the last three full month daily prices for both spot and NYMEX.
- Separate each month: So, there will be three full sets of data for each, NYMEX and spot prices.
- Clean the data: make sure dates are matching.
- In case of missing data (not the weekends), use interpolation to set the value for the missing price data.
- Draw a graph for each month and include both series (futures and spot) in the graph. There will be total of three graphs.
- For example, include the January spot and futures in one graph.
- Calculate the correlation between spot and futures for each month.
- Calculate the 10-period moving standard deviation for spot and futures for each month.
- Calculate the 10-period volatility for spot and futures for each month's data.
- Compare the volatility in the spot market with futures market.
- Which market is more volatile?
- Is it consistent with what we learnt in lesson 3 and 4 about these two markets?
- Comment on the correlations
- Which months have the lowest and highest correlations between two markets?
- In which month hedging will be more efficient?
- In which month hedging will be less efficient?
Note: you can use Excel or any other spreadsheet software for this assignment. Please submit the spreadsheet (Excel) file.
This activity is worth up to 20 points on the EBF 301 grading scale.
- Cleaning and organizing the data (3 points)
- Three graphs (3 points)
- Correlation (3 points)
- 10-period moving standard deviation for each month (3 points)
- 10-period volatility for each month data (3 points)
- Comparing the volatilities (2 points)
- Commenting on the correlations (3 points)
The Fundamental Factors activity is due as usual this week, at 11:59 pm on Sunday, and is worth 30 points on the EBF 301 grading scale. Please refer to the Fundamental Factors Instructions for additional information and grading rubric.
Return to Canvas to complete the L8 Quiz.
Submitting Your Work
Price Analysis: in Canvas. Submit your work as a single Excel document to the Lesson 8 Activity in Canvas.
Fundamental Factors: Submit your work as a single Word document to the Lesson 8 Fundamental Factors Activity in Canvas.
Quiz: Take the quiz in Canvas.