Re: Oil pricing
OIL RIKSIES
UNDERLYING OPTION
REFERENCE PUT
CALL
NET
| EXPIRY | RATE | STRIKE | STRIKE | PREMIUM | |
|---|---|---|---|---|---|
| Dec13 WTI | 15Nov2013 | 100.50 | 91.50 | 109.50 | Cashless |
| Jan14 WTI | 16Dec2013 | 99.25 | 89.50 | 108.50 | Cashless |
| Feb14 WTI | 15Jan2014 | 98.10 | 88.00 | 107.50 | Cashless |
| Dec13 BRENT | 11Nov2013 | 104.50 | 95.00 | 1 14.50 | Cashless |
| Jan14 BRENT | 1lDec2013 | 104.00 | 94.00 | 114.00 | Cashless |
| Feb14 BRENT | 13Jan2014 | 103.50 | 93.00 | 114.00 | Cashless |
Paul Barrett | Managing Director | Global Investment Opportunities Group | J.P. Morgan Private Bank |
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BULLISH WTI RISKIES
Version 1
• Client buys Mar14 WTI 110 call
• Client sells Mar14 WTI put; 93.50 strike; 83.50 at-expiry knock-in
Cashless
Version 2
• Client buys Mar14 WTI 120 call
• Client sells Dec13 WTI put; 95 strike; 90 at-expiry knock-in
Cashless
Paul Barrett | Managing Director | Global Investment Opportunities Group | J.P. Morgan Private Bank |
████████████████████████████████████████████████████████████
███████████████████ | NMLS ID# 853441
25pct * 93.5 strike * 1million. So 23.3mm usd collateral.
lets put on some of version I to start , give me a chart of size and profits at 130-150
So on 100,000 barrels:
You are long at 110/bbl. Below payout is at expiry:
| Spot price at expiry (USD/bbl) | Payout (long at 110) |
|---|---|
| 0 | -110 |
| 50 | -60 |
| 110 | 0 |
| 150 | 40 |
| 200 | 90 |
Axes: x = spot price at expiry (USD/bbl), y = payoff. No legend. Piecewise linear payoff: payoff = S_T − 110 (negative below 110, zero at 110, positive above).
how much margin for 1 million barrells.
lets start at 250k barrels