期货期权-课件

2019ZhengzhouCommodityExchange2019郑州商品交易所郑州商品交易所JosephJONeillSeptember10,2019JosephJONeill2019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2TradingRing交易场所交易场所CottononICEICE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FundamentalAnalysis基本分析基本分析uSupply and Demand 供求关系FundamentalFactors基本因素基本因素uPrices of other commodities其他商品价格uBattle for crop land 耕地征用uPrice determines winner 价格决定胜负uWheat-Russia 小麦-俄国uCorn-Ethanol 玉米酒精生产uCotton-high demand-shrinking supplies 棉花-高需求-低供给8FundamentalFactors基本因素基本因素uSize of US crop 美国农作物规模uChinese production 中国生产uChinese supply 中国供给uIndian situation 印度状况uFloods in Pakistan 巴基斯坦洪水uWorld Supply 世界供给uWorld demand 世界需求9Thereisabattleforcropland耕地征用耕地征用Price is how we determine which crop wins 价格决定何种作物胜出11TechnicalAnalysis技术分析技术分析Technicals are the Leading Indicator of Fundamentals 技术是基本法则的首要指标13Callsalesanditsrelationshiptoprice卖出合约及其与价格的关系卖出合约及其与价格的关系14CallSales卖出合约卖出合约uCall Sales-Sales of cotton-Price not yet fixed 卖出合约-棉花销售-价格未定uPrice fixed at the discretion of mill buyer价格根据工厂买方而定uAssures supply without having to fix price确保供给无需定价15FuturesBasedOn:CallCottonBasedOpenFuturesContractsICEFuturesUnfixedCallSalesChangeFromPreviousWeekUnfixedCallPurchasesChangeFromPreviousWeekAtClose08/13/2019ChangeFromPreviousWeekOctober2019585-7713096453December201918,2877064,704-786139,14411,311March201925,0822,35271317748,5664,630May201914,4951,2382051153,021101July201920,4373,5491,2174089,779729October2019420010100December20196,5615652,0462812,729353March20191,17238260590May20196821550-155July2019344015705525December201926603,074016335March201921600000Totals88,5478,38612,206194204,49517,2421617Volatility易变性易变性18Volatility易变性易变性uSince 2019 volatility for cotton has increased dramatically自2019年来棉花价格波动剧烈uPrice ranges for December futures12月棉花期货价格范围u1991 thru 2019 21 cents per pound 1991至2019年：每磅21美分u2019 61 cents per pound 2019年：每磅61美分u2009 65 cents per pound2009年：每磅65美分u2019 to 29/8/10 47 cents per pound 2019至08/29/2019：每磅47美分 19MarketVolatility市场易变性市场易变性Riskofnotusingfuturesandoptions不采用期货期权的危险性不采用期货期权的危险性21MILL 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 calendar year套期保值持续整年22MILL 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23Hopingislike相同期望相同期望24HOPE&DONT FIX CASH期望和不固定现金期望和不固定现金uuAdvantage-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25BUY 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26BUY 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27Fix 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 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28Mill 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月交付的棉花实施套期保值Cash/futures basis is 10 centsu现金/期货基差为10美分29BuyCotton20/08/10购买棉花购买棉花08/20/2019uFix price basis futures 84 cents固定价格期货基差84美分uBasis 10 cents on 基差10美分uTotal cost 94 cents 总成本94美分30ProtectwithPutOption带看跌期权保护带看跌期权保护Cotton cost 94 cents 棉花成本为94美分84 cents futures+10 cents on 84美分期货+10美分Buy 84 cent put option 购买84美分看跌期权Cost of option 3.92 cents 期权成本为3.92 美分Maximum cost 97.92 cents 最高成本97.92美分31FuturesPricegoesto110期货价格至期货价格至110uMaximum Price is already fixed u最高价已定uCost of cotton 97.92 centsu棉花成本为97.92美分32Pricegoesdownto58cents价格降至价格降至58美分美分uPrice of futures is now 58 cents 当前期货价格为58美分u+basis 10 cents on+基差10美分u+3.92 option cost+3.92期权成本uYour cost 71.92 您的成本是71.92美分33Results结果结果CostofCotton棉花成本棉花成本uFutures Price w/o option w option期货价格 无期权带期权u84 cents 94 cents 97.92u84美分 94美分 97.92 美分u110 cents 94 cents 97.92u110 美分 94 美分 97.92美分u58 cents 94 cents 71.92u58 美分 94 美分 71.92美分34uThank You 谢谢35docin/sanshengshiyuandoc88/sanshenglu更多精品资源请访问更多精品资源请访问