Change in JET FUEL Oil Change in WTI Oil
(per gallon, 1 barrel = 42 gallons) (per gallon, 1 barrel = 42 gallons)
0.02 (0.06)
0.09 0.09
0.16 0.10
0.03 (0.00)
(0.00) (0.04)
0.05 0.15
0.11 0.18
(0.06) (0.10)
0.15 0.18
0.30 0.30
(0.02) (0.13)
0.11 0.18
(0.10) (0.10)
0.34 0.24
0.15 (0.01)
0.27 0.29
0.41 0.33
0.28 0.30
(0.47) (0.38)
(0.26) (0.21)
(0.27) (0.35)
(0.93) (0.78)
(0.33) (0.31)
(0.44) (0.25)
0.10 (0.07)
(0.15) 0.06
0.08 0.13
(0.05) 0.02
0.38 0.38
0.12 0.08
0.04 (0.01)
(0.05) 0.02
0.01 0.01
0.18 0.16
0.03 0.00
0.08 0.05
(0.18) (0.16)
0.15 0.16
0.13 0.09
0.14 0.06
(0.29) (0.29)
(0.05) 0.04
0.10 0.08
(0.08) (0.16)
0.23 0.19
0.01 0.04
0.04 0.06
0.24 0.17
0.21 (0.01)
0.26 0.15
0.16 0.22
0.21 0.17
(0.23) (0.25)
(0.14) (0.18)
0.17 0.01
(0.05) (0.16)
(0.27) (0.24)
0.18 0.34
(0.03) 0.17
(0.08) (0.04)
Y = a + b X1 Y = a + b X2
a (intercept) a (intercept)
b (slope) b (slope)
1.02 1.05
Position size (jet fuel) (SHORT)
Hedge ratio:
Futures contract size (1,000 barrel)
Number futures contract (LONG)
Number futures contracts to go
Change in BRENT Oil
(per gallon, 1 barrel = 42 gallons)
(0.06) 0.9233292992 0.9483525371
0.07 0.9245775199 0.9496060327
0.22 0.9244363883 0.9496139153
(0.03) 0.9245323315 0.9499141064
0.02 0.9247342698 0.9506490493
0.10 0.9249633038 0.9507607336
0.11 0.9271745436 0.9512483104
(0.11) 0.9282217891 0.951128881
0.21 0.9283193109 0.9516195496
0.21 0.9281184666 0.9520561341
(0.03) 0.9259287155 0.9517415465
0.12 0.928152123 0.9517376134
(0.05) 0.9470006762 0.9516323471
0.22 0.9467727455 0.9518133476
0.03 0.9466028773 0.9520819064
0.21 0.9496210152 0.954203873
0.40 0.9488274839 0.95349344
0.25 0.9474453241 0.9501479088
(0.34) 0.9462508346 0.9483564897
(0.25) Err:502 0.9463260947
(0.48) 0.9427982826 0.9448103664
(0.80) 0.9423296931 0.9570983171
(0.29) 0.9236016998 0.9265822073
(0.28) 0.9183742628 0.9176316179
0.20 0.9203205326 0.9080778768
0.01 0.9268884055 0.9142022295
0.04 0.9389949001 0.9264611152
0.10 0.9400782762 0.9270385449
0.35 0.9414839979 0.9413402353
0.07 0.9381330223 0.93207204
0.05 0.9381986251 0.9324033633
(0.03) 0.9386462831 0.9324772715
(0.08) 0.9403511022 0.9324433755
0.22 0.9403019441 0.9378476906
0.07 0.9399770065 0.9374011642
0.00 0.9399070253 0.9392252812
(0.16) 0.9400026045 0.9435248319
0.12 0.9384180033 0.9393461321
0.10 0.9384804002 0.9384282175
0.14 0.9386967142 0.9383498978
(0.31) 0.9398101646 0.9372579076
0.05 0.9344055487 0.9251047636
0.06 0.9375835451 0.9342724164
(0.05) 0.9375896557 0.9350260313
0.13 0.9364650589 0.933971458
0.04 0.9362356208 0.9403761708
0.08 0.9364701308 0.9412948221
0.17 0.937006297 0.9448709363
0.14 0.9375542669 0.9436185971
0.32 0.9548584083 0.9468383114
0.11 0.9602674575 0.9426670026
0.23 0.9604219782 0.9396347344
(0.22) 0.9611694987 0.9230554138
(0.13) 0.9576596598 0.904550596
0.10 0.9555567404 0.8951125729
0.01 0.9727207627 0.874667813
(0.26) 0.9881706308 0.8925719053
0.07 0.9894456774 0.6877960775
0.07 0.9910030063 1
(0.07) 1
WTI Hedge Brent Hedge
-20000000 (SHORT) -20000000
-1.02 -1.05
42000 42000
484.9 (LONG) 500.9
484.9 500.9
20364547.3799095 21038875.252
