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Strategies & Market Trends : JPO JPMorgan Crude Oil Future Index

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To: Joe who wrote ()6/24/1999 12:31:00 PM
From: Heretic   of 2
 
Hi Joe,

I have traded JPO several times with good success. As you suggest, JPO is linked to crude futures, but you must use the following formula to calculate fair value:

=25*((INDEX/588.7776)-0.1465)

Where INDEX is the JPMCI Crude Oil Total Return Index. This value is updated daily at:
jpmorgan.com

There is also a respectable dividend yield which should cause JPO to trade at a slight premium to the above result.

WARNING: The volume in JPO is very light, the spreads are very wide, and it frequently trades at a substantial premium to fair value.

Heretic

PS There is also JPW...
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