Assignment 5 fall 17 petroleum (3)(3) (1)

Assignment 5


Settlements for


CLK 85.27 CLM 84.46 CLN 83.67

HOJ 2.2298 HOK 2.3195 HOM 2.1372 HON 2.3350

RBJ 2.1089 RBK 2.1172 RBM 2.1372 RBN 2.1567

QOK 82.97 QOM 82.69 QON 82.33


1. What is the value of the June Brent/WTI spread?

84.46-82.69= 1.77
$1.77/bbl premium

2. What is the value of the April RBOB/Heating Oil spread?

2.1089-2.2298= -.1209 -$.12/gl premium

3. What is the value of the May Heating Oil crack?

(2.3195*42)-85.27=12.149
$12.15/gl

4. What is the value of July RBOB crack?

(2.1567*42)-83.67=6.9114
$6.91/gl


5. What is the value of the May 3-2-1 crack

(2.1172*28)+(2.3195*14)-85.27=6.4846
$6.48/bbl

6. What is the value of the May RBOB calendar swap?

(2/3*2.1372)+(1/3*2.1567)=2.1437
$2.14/gl




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