2010 Zhengzhou Commodity Exchange2010 郑州商品交易所

Joseph J O’NeillSeptember 10, 2010

Joseph J O’Neill2010 年 9 月 10 日

Futures- ElectronicOptions-Floor 期货 - 电子交易 -现场

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Trading Ring交易场所

Cotton on ICE ICE 棉花走势

ECONOMIC PURPOSE OF ECONOMIC PURPOSE OF FUTURES & OPTIONS MARKETSFUTURES & 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 DiscoveryPrice Discovery 价格发现价格发现

Risk ShiftingRisk Shifting or Hedging Hedging 风风险转移或套期保值险转移或套期保值

TWO APPROACHES TO TWO APPROACHES TO MARKET ANALYSIS MARKET ANALYSIS 市场分析的两种方式市场分析的两种方式

Fundamental Fundamental 基本基本分析分析

Technical Technical 技术分析技术分析

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

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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

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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

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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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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 19

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 HEDGINGMILL 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 CHOICESMILL CHOICES 工厂选择工厂选择

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

Hoping is like 相同期望

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HOPE & DON’T FIX CASHHOPE & DON’T FIX CASH期望和不固定现金期望和不固定现金

AdvantageAdvantage - 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 DisadvantageDisadvantage - You don’t always

get what you want

缺点—无法达到期望

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BUY FUTURESBUY FUTURES 购买期货购买期货

AdvantagesAdvantages 优点优点– Eliminate outright risk 全面消除风险

DisadvantagesDisadvantages 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

BUY CALL OPTIONSBUY CALL OPTIONS购买看涨期权购买看涨期权

AdvantagesAdvantages 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

DisadvantagesDisadvantages 缺点缺点

–Basis risk 基差风险

–Cost of options 期权成本

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Fix Cash Cost & Buy Put OptionsFix 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

Advantages Advantages 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

Disadvantages 缺点– Cost of Options 期权成本

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Mill Hedge ExampleMill Hedge Example工厂工厂套期保值示例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

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 71.92 美分34

Thank You

谢谢35