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-現場,2,Trading Ring交易場所,Cotton on ICE ICE 棉花走勢,ECONOMIC PURPOSE OF

2、FUTURES & OPTIONS MARKETS期貨、期權市場的經濟目的,Price Discovery價格發(fā)現Risk Shifting or Hedging 風險轉移或套期保值,TWO APPROACHES TO MARKET ANALYSIS 市場分析的兩種方式,Fundamental 基本分析Technical 技術分析,Fundamental Analysis基本分析,Supply and Deman

3、d 供求關系,Fundamental Factors基本因素,Prices of other commodities其他商品價格Battle for crop land 耕地征用Price determines winner 價格決定勝負Wheat-Russia 小麥-俄國Corn-Ethanol 玉米酒精生產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 美國農作物規(guī)模Chinese production 中國生產Chinese supply 中國供給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 價格決定何種作物勝出,,,11,Technical Analysis技術分析,Technicals are the Leading Indicator of Fundamentals 技術是基本法則的首要指標,,,13,Call sales and its relationship to price 賣出合約及其與價格的關系,14,Call Sales賣出合約,Call Sa

6、les- Sales of cotton-Price not yet fixed 賣出合約-棉花銷售-價格未定Price fixed at the discretion of mill buyer價格根據工廠買方而定Assures supply without having to fix price確保供給無需定價,15,,16,,,17,Volatility易變性,,18,Volatility易變性,Since 2008 vol

7、atility for cotton has increased dramatically自2008年來棉花價格波動劇烈Price ranges for December futures12月棉花期貨價格范圍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市場易變性,Risk of not using futures and options 不采用期貨期權的危險性,21,22,MILL HEDGIN

9、G套期保值In general, mills are: 總體來說，工廠是：,Hedging exposure to raw cotton acquisition cost 原棉收購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 期望和不固定現金Fix cash and hope固定現金和期望Buy futures against unfixed cash need 購買期貨抵制不定現金需求Buy call options, cash unfixed 購買看漲期權，現金不定Fix cash cost, buy put options固定現金成本，購買看跌期權,Hoping is like 相同期望,,24,25,HOPE & D

11、ON’T FIX CASH期望和不固定現金,Advantage - no up-front cost for cash purchase or hedging優(yōu)點—無現金購買或套期保值的預先成本Disadvantage - You don’t always get what you want 缺點—無法達到期望,26,BUY FUTURES購買期貨,Advantages優(yōu)點Eliminate outright risk 全面消

12、除風險Disadvantages缺點Basis risk remains基本風險依舊存在Eliminates benefit from lower prices以低價消除利益Margin calls 追加保證金,27,BUY CALL OPTIONS購買看漲期權,Advantages優(yōu)點Eliminates outright price risk消除價格風險Preserves potential benefit from

13、price decline在價格下降過程中保持潛在利益No margin calls無追加保證金Disadvantages 缺點Basis risk 基差風險Cost of options期權成本,28,Fix Cash Cost & Buy Put Options固定現金成本和購買看跌期權,Advantages 優(yōu)點Eliminates outright/basis price risk全面消除價格風險、消除基

14、差價格風險Preserves potential benefit from price decline 在價格下降過程中保持潛在利益No margin calls 無追加保證金Disadvantages缺點Cost of Options 期權成本,29,Mill Hedge Example工廠套期保值示例Assumptions假設,Mill is hedging cotton for Dec/January deliver

15、y 工廠正為12月和1月交付的棉花實施套期保值Cash/futures basis is 10 cents現金/期貨基差為10美分,Buy Cotton 20/08/10購買棉花08/20/2010,Fix price basis futures 84 cents固定價格期貨基差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帶看跌期權保護,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 購買84美分看跌期權Cost of option 3.92 cents 期權成本為3.92 美分Maximum cost 97.92 cents 最高成本97.92美分,31,Futures Price

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

18、2 option cost +3.92期權成本Your cost 71.92 您的成本是71.92美分,33,Results 結果Cost of Cotton 棉花成本,Futures Price w/o option w option期貨價格 無期權帶期權84 cents 94 cents 97.9284美分 94美分 97.92 美分