Joseph J O’Neill
September 10, 2010
Joseph J O’Neill
2010年9月10日
2010 Zhengzhou Commodity Exchange
2010 郑州商品交易所
Futures- Electronic
Options-Floor 期货-电子交易-现场
2
Trading Ring
交易场所
Cotton on ICE ICE 棉花走势
ECONOMIC PURPOSE OF
FUTURES & OPTIONS MARKETS
期货、期权市场的经济目的


Price Discovery价格发现
Risk Shifting or Hedging 风险
转移或套期保值
TWO APPROACHES TO
MARKET ANALYSIS
市场分析的两种方式
 Fundamental 基本分析

Technical 技术分析
Fundamental Analysis基本分析
Supply and
Demand 供求关系
Fundamental Factors基本因素
 Prices of other commodities其他商品价格
 Battle for crop land 耕地征用
 Price determines winner 价格决定胜负
 Wheat-Russia 小麦-俄国
 Corn-Ethanol 玉米酒精生产
 Cotton-high demand-shrinking supplies 棉花-高需
求-低供给
8
Fundamental Factors基本因素
 Size of US crop 美国农作物规模
 Chinese production 中国生产
 Chinese supply 中国供给
 Indian situation 印度状况
 Floods in Pakistan 巴基斯坦洪水
 World Supply 世界供给
 World demand 世界需求
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There is a battle for cropland…
耕地征用
Price is how we
determine which crop
wins
价格决定何种作物胜出
11
Technical Analysis技术分析
Technicals are the Leading
Indicator of Fundamentals
技术是基本法则的首要指标
13
Call sales and its relationship to
price 卖出合约及其与价格的关系
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Call Sales卖出合约
Call Sales- Sales of cotton-Price not yet
fixed 卖出合约-棉花销售-价格未定
Price fixed at the discretion of mill buyer
价格根据工厂买方而定
Assures supply without having to fix
price确保供给无需定价
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Open Futures Contracts
ICE Futures
Call Cotton Based
Futures
Based
On:
Unfixed Call Sales
Change From
Previous Week
Unfixed Call
Purchases
Change From
Previous Week
At Close
08/13/2010
Change From
Previous Week
October 2010
585
-77
13
0
964
53
December 2010
18,287
706
4,704
-786
139,144
11,311
March 2011
25,082
2,352
713
177
48,566
4,630
May 2011
14,495
1,238
205
115
3,021
101
July 2011
20,437
3,549
1,217
408
9,779
729
October 2011
420
0
1
0
10
0
December 2011
6,561
565
2,046
281
2,729
353
March 2012
1,172
38
26
0
59
0
May 2012
682
15
50
-1
5
5
July 2012
344
0
157
0
55
25
December 2012
266
0
3,074
0
163
35
March 2013
216
0
0
0
0
0
Totals
88,547
8,386
16
12,206
194
204,495
17,242
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Volatility易变性
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Volatility易变性
 Since 2008 volatility for cotton has increased dramatically
自2008年来棉花价格波动剧烈
 Price ranges for December futures
12月棉花期货价格范围
 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美分
 2009
65 cents per pound
2009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
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Market Volatility市场易变性
Risk of not using futures and
options 不采用期货期权的危险性
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MILL HEDGING
套期保值
In general, mills are:
总体来说，工厂是：



Hedging exposure to raw
cotton acquisition cost 原棉收
购成本的套期保值暴露
Hedging net exposure套期保值
净暴露
Hedging consistently
throughout calendar year套期
保值持续整年
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MILL CHOICES工厂选择





Hope and don’t fix cash 期望和不固定
现金
Fix cash and hope固定现金和期望
Buy futures against unfixed cash
need 购买期货抵制不定现金需求
Buy call options, cash unfixed 购买看
涨期权，现金不定
Fix cash cost, buy put options固定现
金成本，购买看跌期权
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Hoping is like 相同期望
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HOPE & DON’T FIX CASH
期望和不固定现金

Advantage - 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

Disadvantage - You don’t always
get what you want
缺点—无法达到期望
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BUY FUTURES购买期货

Advantages优点
–

Eliminate outright risk 全面消除风险
Disadvantages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
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BUY CALL OPTIONS
购买看涨期权
Advantages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
Disadvantages 缺点
–Basis risk 基差风险
–Cost of options期权成本
Fix Cash Cost & Buy Put Options
固定现金成本和购买看跌期权

Advantages 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
Disadvantages缺点
–
Cost of Options 期权成本
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Mill Hedge Example
工厂套期保值示例
Assumptions假设

Mill 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 cents

现金/期货基差为10美分
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Buy Cotton 20/08/10
购买棉花08/20/2010
Fix price basis futures 84 cents固定价格
期货基差84美分
Basis 10 cents on 基差10美分
Total cost 94 cents 总成本94美分
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Protect with Put Option
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
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Futures Price goes to 110
期货价格至110
Maximum Price is already fixed
最高价已定
Cost of cotton 97.92 cents
棉花成本为97.92美分
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Price goes down to 58 cents
价格降至58美分
Price of futures is now 58 cents
当前期货价格为58美分
+ basis 10 cents on +基差10美分
 +3.92
option cost +3.92期权成本
Your cost 71.92 您的成本是71.92美分
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Results
结果Cost of Cotton 棉花成本
 Futures Price w/o option w option
期货价格
无期权
带期权
 84 cents
94 cents
97.92
 84美分
94美分
97.92 美分
 110 cents
94 cents
97.92
 110 美分
94 美分
97.92美分
 58 cents
94 cents
71.92
 58 美分
94 美分
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71.92美分
Thank You
谢谢
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