耕地征用-鄭州商品交易所

1、2010 Zhengzhou Commodity Exchange2010 鄭州商品交易所,Joseph J O’NeillSeptember 10, 2010Joseph J O’Neill2010年9月10日,Futures- ElectronicOptions-Floor 期貨-電子交易-現(xiàn)場(chǎng),2,Trading Ring交易場(chǎng)所,Cotton on ICE ICE 棉花走勢(shì),ECONOMIC PURPOSE OF

2、FUTURES & OPTIONS MARKETS期貨、期權(quán)市場(chǎng)的經(jīng)濟(jì)目的,Price Discovery價(jià)格發(fā)現(xiàn)Risk Shifting or Hedging 風(fēng)險(xiǎn)轉(zhuǎn)移或套期保值,TWO APPROACHES TO MARKET ANALYSIS 市場(chǎng)分析的兩種方式,Fundamental 基本分析Technical 技術(shù)分析,Fundamental Analysis基本分析,Supply and Deman

3、d 供求關(guān)系,Fundamental Factors基本因素,Prices of other commodities其他商品價(jià)格Battle for crop land 耕地征用Price determines winner 價(jià)格決定勝負(fù)Wheat-Russia 小麥-俄國(guó)Corn-Ethanol 玉米酒精生產(chǎn)Cotton-high demand-shrinking supplies 棉花-高需求-低供給,8,Fundamen

4、tal Factors基本因素,Size of US crop 美國(guó)農(nóng)作物規(guī)模Chinese production 中國(guó)生產(chǎn)Chinese supply 中國(guó)供給Indian situation 印度狀況Floods in Pakistan 巴基斯坦洪水World Supply 世界供給World demand 世界需求,9,There is a battle for cropland…耕地征用,Price is how

5、we determine which crop wins 價(jià)格決定何種作物勝出,,,11,Technical Analysis技術(shù)分析,Technicals are the Leading Indicator of Fundamentals 技術(shù)是基本法則的首要指標(biāo),,,13,Call sales and its relationship to price 賣(mài)出合約及其與價(jià)格的關(guān)系,14,Call Sales賣(mài)出合約,Call Sa

6、les- Sales of cotton-Price not yet fixed 賣(mài)出合約-棉花銷售-價(jià)格未定Price fixed at the discretion of mill buyer價(jià)格根據(jù)工廠買(mǎi)方而定Assures supply without having to fix price確保供給無(wú)需定價(jià),15,,16,,,17,Volatility易變性,,18,Volatility易變性,Since 2008 vol

7、atility for cotton has increased dramatically自2008年來(lái)棉花價(jià)格波動(dòng)劇烈Price ranges for December futures12月棉花期貨價(jià)格范圍1991 thru 2007 21 cents per pound 1991至2007年：每磅21美分2008 61 cents per pound 2008年：每磅61美

8、分2009 65 cents per pound2009年：每磅65美分2010 to 29/8/10 47 cents per pound 2010至08/29/2010：每磅47美分,19,Market Volatility市場(chǎng)易變性,Risk of not using futures and options 不采用期貨期權(quán)的危險(xiǎn)性,21,22,MILL HEDGIN

9、G套期保值In general, mills are: 總體來(lái)說(shuō)，工廠是：,Hedging exposure to raw cotton acquisition cost 原棉收購(gòu)成本的套期保值暴露Hedging net exposure套期保值凈暴露Hedging consistently throughout calendar year套期保值持續(xù)整年,23,MILL CHOICES工廠選擇,Hope and don’t

10、fix cash 期望和不固定現(xiàn)金Fix cash and hope固定現(xiàn)金和期望Buy futures against unfixed cash need 購(gòu)買(mǎi)期貨抵制不定現(xiàn)金需求Buy call options, cash unfixed 購(gòu)買(mǎi)看漲期權(quán)，現(xiàn)金不定Fix cash cost, buy put options固定現(xiàn)金成本，購(gòu)買(mǎi)看跌期權(quán),Hoping is like 相同期望,,24,25,HOPE & D

11、ON’T FIX CASH期望和不固定現(xiàn)金,Advantage - no up-front cost for cash purchase or hedging優(yōu)點(diǎn)—無(wú)現(xiàn)金購(gòu)買(mǎi)或套期保值的預(yù)先成本Disadvantage - You don’t always get what you want 缺點(diǎn)—無(wú)法達(dá)到期望,26,BUY FUTURES購(gòu)買(mǎi)期貨,Advantages優(yōu)點(diǎn)Eliminate outright risk 全面消

12、除風(fēng)險(xiǎn)Disadvantages缺點(diǎn)Basis risk remains基本風(fēng)險(xiǎn)依舊存在Eliminates benefit from lower prices以低價(jià)消除利益Margin calls 追加保證金,27,BUY CALL OPTIONS購(gòu)買(mǎi)看漲期權(quán),Advantages優(yōu)點(diǎn)Eliminates outright price risk消除價(jià)格風(fēng)險(xiǎn)Preserves potential benefit from

13、price decline在價(jià)格下降過(guò)程中保持潛在利益No margin calls無(wú)追加保證金Disadvantages 缺點(diǎn)Basis risk 基差風(fēng)險(xiǎn)Cost of options期權(quán)成本,28,Fix Cash Cost & Buy Put Options固定現(xiàn)金成本和購(gòu)買(mǎi)看跌期權(quán),Advantages 優(yōu)點(diǎn)Eliminates outright/basis price risk全面消除價(jià)格風(fēng)險(xiǎn)、消除基

14、差價(jià)格風(fēng)險(xiǎn)Preserves potential benefit from price decline 在價(jià)格下降過(guò)程中保持潛在利益No margin calls 無(wú)追加保證金Disadvantages缺點(diǎn)Cost of Options 期權(quán)成本,29,Mill Hedge Example工廠套期保值示例Assumptions假設(shè),Mill is hedging cotton for Dec/January deliver

15、y 工廠正為12月和1月交付的棉花實(shí)施套期保值Cash/futures basis is 10 cents現(xiàn)金/期貨基差為10美分,Buy Cotton 20/08/10購(gòu)買(mǎi)棉花08/20/2010,Fix price basis futures 84 cents固定價(jià)格期貨基差84美分Basis 10 cents on 基差10美分Total cost 94 cents 總成本94美分,30,Protect with Pu

16、t Option帶看跌期權(quán)保護(hù),Cotton cost 94 cents 棉花成本為94美分84 cents futures + 10 cents on 84美分期貨+10美分Buy 84 cent put option 購(gòu)買(mǎi)84美分看跌期權(quán)Cost of option 3.92 cents 期權(quán)成本為3.92 美分Maximum cost 97.92 cents 最高成本97.92美分,31,Futures Price

17、 goes to 110期貨價(jià)格至110,Maximum Price is already fixed 最高價(jià)已定Cost of cotton 97.92 cents棉花成本為97.92美分,32,Price goes down to 58 cents 價(jià)格降至58美分,Price of futures is now 58 cents 當(dāng)前期貨價(jià)格為58美分+ basis 10 cents on +基差10美分+3.9

18、2 option cost +3.92期權(quán)成本Your cost 71.92 您的成本是71.92美分,33,Results 結(jié)果Cost of Cotton 棉花成本,Futures Price w/o option w option期貨價(jià)格 無(wú)期權(quán)帶期權(quán)84 cents 94 cents 97.9284美分 94美分 97.92 美分