Kevin Berk

D-Day for the MacroShares Crude Oil ETFs

The reason DCR is trading above NAV even after "D-Day" is that it is basically a put option on NYMEX light sweet crude since you can't lose more than you put into DCR. If you do some quick math you will realize that DCR value equals the same percentage of the effective strike price ($120) as a July Put option with $96 strike price ($96 is likely where USO would trade if crude hit $120). July 96's is ~$9.30 = 9.7% of 96. 9.7% of 120 is 11.63. Divide that by 3 and voila = $3.88. DCR closed at $3.76. It is likely lower since it expires on June 25th instead of July 19. In fact it is a pretty decent alternative to a put since the liquidity has been pretty high.