WTI $85/bbl, RBOB $2.55/gal, ULSD $2.95/gal (illustrative). (a) Compute the 3-2-1 crack. (b) A refiner runs 300,000 bbl of crude a month and wants to lock in the crack for next month. Specify the futures position (NYMEX contracts: crude 1,000 bbl; RBOB and ULSD 42,000 gal). (c) Name two risks the hedge leaves open.
M10 · Problem 14 ★ Check
Crack spread and a refiner hedge
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