[R-SIG-Finance] Question: How to Notionalize a Commodity Future?

[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 ¼ cent/bu 
7350 = $7.35/bushel 
7352 = $7.35¼  
7354 = $7.35½  
7356 = $7.35¾  
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:
> 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.
>
>   
>> -----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 10:49 AM
>> To: r-sig-finance at stat.math.ethz.ch
>> Subject: [R-SIG-Finance] Question: How to Notionalize a Commodity 
>> Future?
>>
>> 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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