FIN
ppz234
HedgeRatioLabHandout.xlsxHistory of hedges
| Natural Gas–Henry Hub | |||||||||||||||
| Floors | Ceilings | ||||||||||||||
| Period and Type of Contract | MMBtus | Swaps Weighted Average Price | Range | Weighted Average Price | Range | Weighted Average Price | |||||||||
| January 2015 - December 2015 | |||||||||||||||
| Swaps - Henry Hub | 24,500,000 | $4.27 | |||||||||||||
| Collars - Henry Hub | 29,200,000 | $ 3.50-$3.75 | $ 3.69 | $4.89-$5.48 | $5.04 | Production | 170,586,500.00 | MMBtu | F | 2.904 | |||||
| January 2016 - December 2016 | |||||||||||||||
| Swaps - Henry Hub | 133,710,000 | $3.17 | Production | 195,239,214.00 | MMBtu | F | 2.424 | ||||||||
| January 2017 - December 2017 | |||||||||||||||
| Swaps - Henry Hub | 72,690,000 | $3.41 | |||||||||||||
| Collars - Henry Hub | 65,700,000 | $2.40-$3.00 | $2.47 | $2.92-$3.88 | $3.08 | Production | 225,683,606.00 | MMBtu | F | 3.543 |
Hedging for 2017
| Positions as of the end of 2016 | ||||||
| Floors | Ceilings | |||||
| Period and Type of Contract | MMBtus | Swaps Weighted Average Price | Range | Weighted Average Price | Range | Weighted Average Price |
| January 2017 - December 2017 | ||||||
| Swaps - Henry Hub | 72,690,000 | $3.41 | ||||
| Collars - Henry Hub | 65,700,000 | $2.40 - $3.00 | $2.47 | $2.92 - $3.88 | $3.08 | |
| sigma | r | F | T | PUT X | CALL X | S |
| 0.3366824168 | 0.0062 | 3.543 | 0.5 | $2.47 | $3.08 | 3.724 |
| Delta SWAP | ||||||
| d1 put | ||||||
| d2 put | ||||||
| d1 call | ||||||
| d2 call | ||||||
| Delta PUT | ||||||
| Delta CALL | ||||||
| Total | ||||||
| Expected production, MMBtu | 225,683,606.00 | |||||
| One-Year Hedge Ratio |
Hedges for 2016
| Positions as of the end of 2015 | ||||||
| Period and Type of Contract | MMBtus | Swaps Weighted Average Price | ||||
| Swaps - Henry Hub | 133,710,000 | $3.17 | ||||
| sigma | r | F | T | PUT X | CALL X | S |
| 0.3366824168 | 0.0062 | 2.424 | 0.5 | N/A | N/A | 2.337 |
| Delta SWAP | ||||||
| d1 put | ||||||
| d2 put | ||||||
| d1 call | ||||||
| d2 call | ||||||
| Delta PUT | ||||||
| Delta CALL | ||||||
| Total | ||||||
| Expected production, MMBtu | 195,239,214.00 | |||||
| One-Year Hedge Ratio |
Hedges for 2015
| Positions as of the end of 2014 | ||||||
| Floors | Ceilings | |||||
| Period and Type of Contract | MMBtus | Swaps Weighted Average Price | Range | Weighted Average Price | Range | Weighted Average Price |
| Swaps - Henry Hub | 24,500,000 | $4.27 | ||||
| Collars - Henry Hub | 29,200,000 | $ 3.50-$3.75 | $ 3.69 | $4.89-$5.48 | $5.04 | |
| sigma | r | F | T | PUT X | CALL X | S |
| 0.3366824168 | 0.0062 | 2.904 | 0.5 | $ 3.69 | $5.04 | 2.889 |
| Delta SWAP | ||||||
| d1 put | ||||||
| d2 put | ||||||
| d1 call | ||||||
| d2 call | ||||||
| Delta PUT | ||||||
| Delta CALL | ||||||
| Total | ||||||
| Expected production, MMBtu | 170,586,500.00 | |||||
| One-Year Hedge Ratio |
