期货期权ppt.ppt

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1、2010 Zhengzhou Commodity Exchange2010 郑州商品交易所郑州商品交易所Joseph J ONeillSeptember 10,2010Joseph J ONeill2010年年9月月10日日Futures-ElectronicOptions-Floor 期货期货-电子交易电子交易-现场现场2Trading Ring交易场所交易场所 Cotton on ICE ICE 棉花走势棉花走势ECONOMIC PURPOSE OF FUTURES&OPTIONS MARKETS期货、期权市场的经济目的期货、期权市场的经济目的Price Discovery价格发现价格发现

2、Risk Shifting or Hedging 风险风险转移或套期保值转移或套期保值TWO APPROACHES TO MARKET ANALYSIS 市场分析的两种方式市场分析的两种方式Fundamental 基本分析基本分析Technical 技术分析技术分析Fundamental Analysis基本分析基本分析uSupplyandDemand供求关系Fundamental Factors基本因素基本因素uPricesofothercommodities其他商品价格uBattleforcropland耕地征用uPricedetermineswinner价格决定胜负uWheat-Russ

3、ia小麦-俄国uCorn-Ethanol玉米酒精生产uCotton-highdemand-shrinkingsupplies棉花-高需求-低供给8Fundamental Factors基本因素基本因素uSizeofUScrop美国农作物规模uChineseproduction中国生产uChinesesupply中国供给uIndiansituation印度状况uFloodsinPakistan巴基斯坦洪水uWorldSupply世界供给uWorlddemand世界需求9There is a battle for cropland耕地征用耕地征用Priceishowwedeterminewhich

4、cropwins价格决定何种作物胜出11Technical Analysis技术分析技术分析TechnicalsaretheLeadingIndicatorofFundamentals技术是基本法则的首要指标13Call sales and its relationship to price 卖出合约及其与价格的关系卖出合约及其与价格的关系14Call Sales卖出合约卖出合约 uCallSales-Salesofcotton-Pricenotyetfixed卖出合约-棉花销售-价格未定uPricefixedatthediscretionofmillbuyer价格根据工厂买方而定uAssur

5、essupplywithouthavingtofixprice确保供给无需定价15FuturesBasedOn:CallCottonBasedOpenFuturesContractsICEFuturesUnfixedCallSalesChangeFromPreviousWeekUnfixedCallPurchasesChangeFromPreviousWeekAtClose08/13/2010ChangeFromPreviousWeekOctober 2010 585-7713096453December 2010 18,2877064,704-786139,14411,311March 20

6、11 25,0822,35271317748,5664,630May 2011 14,4951,2382051153,021101July 2011 20,4373,5491,2174089,779729October 2011 420010100December 2011 6,5615652,0462812,729353March 2012 1,17238260590May 2012 6821550-155July 2012 344015705525December 2012 26603,074016335March 2013 21600000Totals 88,5478,38612,206

7、194204,49517,2421617Volatility易变性易变性18Volatility易变性易变性uSince2008volatilityforcottonhasincreaseddramatically自2008年来棉花价格波动剧烈uPricerangesforDecemberfutures12月棉花期货价格范围u1991thru200721centsperpound1991至2007年：每磅21美分u200861centsperpound2008年：每磅61美分u200965centsperpound2009年：每磅65美分u2010to29/8/1047centsperpoun

8、d2010至08/29/2010：每磅47美分19Market Volatility市场易变性市场易变性Risk of not using futures and options 不采用期货期权的危险性不采用期货期权的危险性2122MILL HEDGING套期保值套期保值In general,mills are:总体来说，工厂是：总体来说，工厂是：uHedging exposure to raw cotton acquisition cost 原棉收购成本的套期保值暴露uHedging net exposure套期保值净暴露uHedging consistently throughout ca

9、lendar year套期保值持续整年23MILL CHOICES工厂选择工厂选择uHope and dont fix cash 期望和不固定现金uFix cash and hope固定现金和期望uBuy futures against unfixed cash need 购买期货抵制不定现金需求uBuy call options,cash unfixed 购买看涨期权，现金不定uFix cash cost,buy put options固定现金成本，购买看跌期权Hoping is like 相同期望相同期望2425HOPE&DONT FIX CASH期望和不固定现金期望和不固定现金uuAdv

10、antage-no up-front cost for cash purchase or hedging优点无现金购买或套期保值的预先成本uuDisadvantage-You dont always get what you want 缺点无法达到期望26BUY FUTURES购买期货购买期货uuAdvantages优点优点Eliminate outright risk 全面消除风险uuDisadvantages缺点缺点Basis risk remains基本风险依旧存在Eliminates benefit from lower prices以低价消除利益Margin calls 追加保证金2

11、7BUY CALL OPTIONS购买看涨期权购买看涨期权uuAdvantages优点优点Eliminates outright price risk消除价格风险Preserves potential benefit from price decline在价格下降过程中保持潜在利益No margin calls无追加保证金uuDisadvantages 缺点缺点缺点缺点Basis risk 基差风险Cost of options期权成本28Fix Cash Cost&Buy Put Options固定现金成本和购买看跌期权固定现金成本和购买看跌期权uuAdvantages Advantages

12、 优点优点优点优点Eliminates outright/basis price risk全面消除价格风险、消除基差价格风险Preserves potential benefit from price decline 在价格下降过程中保持潜在利益No margin calls 无追加保证金uDisadvantages缺点缺点Cost of Options 期权成本29Mill Hedge Example工厂工厂套期保值套期保值示例示例Assumptions假设假设uMill is hedging cotton for Dec/January delivery 工厂正为12月和1月交付的棉花实施

13、套期保值Cash/futures basis is 10 centsu现金/期货基差为10美分Buy Cotton 20/08/10购买棉花购买棉花08/20/2010uFixpricebasisfutures84cents固定价格期货基差84美分uBasis10centson基差10美分uTotalcost94cents总成本94美分30Protect with Put Option带看跌期权保护带看跌期权保护Cottoncost94cents棉花成本为94美分84centsfutures+10centson84美分期货+10美分Buy84centputoption购买84美分看跌期权Cos

14、tofoption3.92cents期权成本为3.92美分Maximumcost97.92cents最高成本97.92美分31Futures Price goes to 110期货价格至期货价格至110uMaximumPriceisalreadyfixedu最高价已定uCostofcotton97.92centsu棉花成本为97.92美分32Price goes down to 58 cents 价格降至价格降至58美分美分uPriceoffuturesisnow58cents当前期货价格为58美分u+basis10centson+基差10美分u+3.92optioncost+3.92期权成本uYourcost71.92您的成本是71.92美分33Results 结果结果Cost of Cotton 棉花成本棉花成本uFuturesPricew/ooptionwoption期货价格无期权带期权u84cents94cents97.92u84美分94美分97.92美分u110cents94cents97.92u110美分94美分97.92美分u58cents94cents71.92u58美分94美分71.92美分34uThankYou谢谢35