21 Jun 1. QuestiononMinimumVarianceh
1. QuestiononMinimumVariancehedgeGet data from https://www.eia.gov/petroleum/data.php, calculate the minimum variance hedge ratios using only spot crude oil prices (WTI), and hedged with the futures prices of heating oil and natural gas using 1 month, 2, month, and 3 month maturity contracts for the past 10 years2. MarginCallsAssuming you enter into 3 WTI oil futures contract every month and roll your positions 1-day prior to expiry. Profits are taken at the end of each roll. Mark- to-market daily the position of holding the front-month futures contract, both the short and long position using the initial and maintenance margins from the CME (use past 10 years of data)Calculate the total number of margin calls, the amounts of cash required to meet the total number of margin calls, and the total PnL for each position.
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