Managing commodity risk: using commodity futures and options
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester [u.a.]
Wiley
2001
|
| Schriftenreihe: | IIA risk management series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XI, 227 S. |
| ISBN: | 0471866253 |
Internformat
MARC
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| 245 | 1 | 0 | |a Managing commodity risk |b using commodity futures and options |c John J. Stephens |
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2001 | |
| 300 | |a XI, 227 S. | ||
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| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 7 | |a Termijnhandel |2 gtt | |
| 650 | 4 | |a Commodity futures | |
| 650 | 4 | |a Hedging (Finance) | |
| 650 | 4 | |a Options (Finance) | |
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Datensatz im Suchindex
| _version_ | 1804129758002282496 |
|---|---|
| adam_text | contents
List of Tables ix xi
CHAPTER 1: Commodity Risk, Commodity Futures and the Management Function 1
Introduction 1
The Purpose of the Book 2
The Methodology 3
The Commodity Markets 3
Commodity Futures 4
Options on Futures 7
Identifying Commodity Risks and their Impact 8
Managing the Risks 11
Conclusion 17
Checklist for the Review of Chapter 1 18
CHAPTER 2: The Commodity Markets and Their Instruments 21
Introduction 21
Categorising the Market Place 21
Price Discovery in the Marketplace 25
Market Participants 26
Market Positions 27
Cash Forward Contracting 30
The Commodity Futures Contract 31
Offsetting Futures Positions 34
Options on Commodity Futures 35
An Exchange Traded Agreement 36
Types of Options 37
Option Terminology 38
Classification of Options 39
Options and the Money 40
The Exercise Styles of Options 42
Exercising Commodity Options 42
Option Values 44
Pricing Options 46
Checklist for the Review of Chapter 2 47
CHAPTER 3: Commodity Futures Exchanges 51
Introduction 51
v
vi CONTENTS
Types of Exchanges 52
Successful Commodity Futures Exchanges 54
The Clearing House 55
Some Advantages Offered by Futures Exchanges 57
The Margin Requirement 58
The Margin Mechanism 59
Credit Risk in Futures 63
Orders and Order Strategies in the Futures Markets 63
Checklist for the Review of Chapter 3 78
CHAPTER 4: Mechanics of the Marketplace 81
Understanding the Marketplace 81
Carrying Cost 82
Price Interaction 83
Price Relationships 90
Interpreting Market Information 99
Checklist for the Review of Chapter 4 115
CHAPTER 5: Hedging with Commodity Futures and Options The User s
Hedge 119
Introduction 119
Commodity Risk 119
The Buying Hedge Using Futures 123
The Long Futures Hedge in an Inverse Market 127
Moves in the Basis Result in an Imperfect Hedge 127
The Long Futures Hedge in a Normal Market 129
The Buying Hedge Using Options 135
The Buying Hedge Using Long Options in an Inverse Market 138
The Buying Hedge Using Long Options in a Normal Market 141
The Buying Hedge Using Synthetic Long Futures in an Inverted market 144
The Long Hedge Using Synthetic Long Futures in a Normal market 148
The Buying Hedge Using Synthetic Long Call Options 151
The Buying Hedge Using Synthetic Long Calls in an Inverse Market 152
The Buying Hedge Using Synthetic Long Calls in a Normal Market 155
Checklist for the Review of Chapter 5 158
CHAPTER 6: Hedging with Commodity Futures and Options The Producer s
Hedge 161
The Selling Hedge Using Futures Contracts 161
The Short Futures Hedge in an Inverse Market 164
The Short Futures Hedge in a Normal Market 170
The Selling Hedge Using Long Put Options 172
The Selling Hedge Long Put Options in an Inverse Market 175
The Selling Hedge Using Long Put Options in a Normal Market 177
The Selling Hedge Using Synthetic Short Futures in an Inverted market 181
The Short Hedge Using Synthetic Short Futures in a Normal market 185
The Selling Hedge Using Synthetic Long Put Options 188
The Selling Hedge using Synthetic Long Puts in an Inverse Market 189
The Selling Hedge Using Synthetic Long Puts in a Normal Market 191
CONTENTS vii
Comparative Table on the Differences Between a Long and a Short Hedge 194
Checklist for the Review of Chapter 6 195
CHAPTER 7: Creative Commodity Risk Management 197
Commodity Risks in Business 198
Analysing the Risk 199
Selecting the Right Hedging Instrument 203
Selecting the Right Hedge Month 207
Following the Best Strategy 208
The Challenge to Management 213
Checklist for the Review of Chapter 7 216
INDEX 219
tables
Table 4 1 A short futures hedge position 93
Table 4 2 The outcome of a short hedge where no change occurs in the basis 94
Table 4 3 The outcome of a short hedge after a narrowing of the basis 94
Table 4 4 A long calendar spread position 96
Table 4 5 The result of a long calendar spread after a widening of the spread 97
Table 4 6 The result of a long calendar spread after a narrowing of the spread 97
Table 4 7 The ticker symbols for some popular futures contracts 101
Table 4 8 The ticker symbols of the options on some popular commodity contracts 101
Table 4 9 The standard symbols for futures delivery months 102
Table 4 10 A transaction resulting in open interest of one 110
Table 4 11 A transaction that creates a new open position Ill
Table 4 12 A transaction with no change in open interest Ill
Table 4 13 A transaction with no effect on open interest 112
Table 4 14 A transaction which diminishes open interest 112
Table 5 1 A long hedge at its initiation 125
Table 5 2 The result of a perfect long hedge in an inverse market with a rise in price.. 125
Table 5 3 The result of a perfect long hedge in an inverse market with a decline in
price 126
Table 5 4 An imperfect long hedge in an inverse market with a rise in price 127
Table 5 5 The result of an imperfect long hedge in an inverse market after a decline in
price 128
Table 5 6 A long hedge in a normal market 130
Table 5 7 The result of a long hedge in a normal market after a price rise 131
Table 5 8 The result of an imperfect long hedge in a normal market after a decline in
price 131
Table 5 9 A buying hedge using a call option 137
Table 5 10 Result of a buying hedge in an inverse market using long call options, after a
price rise 138
Table 5 11 The result of a buying hedge in an inverse market using long call options, after
a price decline 140
Table 5 12 A buying hedge in a normal market using call options 142
Table 5 13 Result of a buying hedge in a normal market using call options after a price
rise 142
Table 5 14 Result of a buying hedge in a normal market using long call options, after a
price decline 143
Table 5 15 A buying hedge using synthetic futures in an inverse market 145
Table 5 16 Result of a buying hedge in an inverted market, using synthetic long futures,
after a price rise 146
Table 5 17 Result of a long hedge in an inverted market using synthetic long futures, after
a price decline 147
ix
x TABLES
Table 5 18 A buying hedge in a normal market, using synthetic long futures 149
Table 5 19 The result of a buying hedge in a normal market using synthetic long futures,
after a rise in price 150
Table 5 20 The result of a buying hedge in a normal market using synthetic futures, after
a price decline 150
Table 5 21 A buying hedge using a call option 152
Table 5 22 The result of a buying hedge in an inverse market using synthetic calls, after a
price rise 153
Table 5 23 The result of a buying hedge in an inverse market using synthetic calls, after a
price decline 154
Table 5 24 A buying hedge in a normal market using synthetic call options 156
Table 5 25 Result of a buying hedge in a normal market using synthetic long calls, after a
price rise 156
Table 5 26 Result of a buying hedge in a normal market using synthetic long call options,
after a price decline 157
Table 6 1 A short futures hedge in an inverted market 162
Table 6 2 The result of a perfect short hedge in an inverse market with a decline in
price 163
Table 6 3 The result of a perfect short hedge in an inverse market with a rise in price. 164
Table 6 4 The result of an imperfect short hedge in an inverse market after a decline in
price 165
Table 6 5 An imperfect short hedge in an inverse market with a rise in price 166
Table 6 6 A short hedge in a normal market 171
Table 6 7 The result of an imperfect short hedge in a normal market after a decline in
price 171
Table 6 8 The result of a short hedge in a normal market after a price rise 172
Table 6 9 A selling hedge using a put option 174
Table 6 10 Result of a selling hedge in an inverse market using options, after a price
rise 175
Table 6 11 The result of a selling hedge in an inverse market using long put options, after
a price decline 176
Table 6 12 A selling hedge in a normal market using put options 178
Table 6 13 Result of a selling hedge in a normal market, using put options after a price
rise 179
Table 6 14 Result of a selling hedge in a normal market using put options, after a price
decline 180
Table 6 15 A selling hedge using synthetic futures in an inverse market 182
Table 6 16 Result of a selling hedge in an inverted market, using synthetic short futures,
after a price rise 183
Table 6 17 Result of a short hedge in an inverted market using synthetic short futures,
after a price decline 184
Table 6 18 A selling hedge in a normal market, using synthetic short futures 186
Table 6 19 The result of a selling hedge in a normal market using synthetic short futures,
after a rise in price 186
Table 6 20 The result of a selling hedge in a normal market using synthetic futures, after a
price decline 187
Table 6 21 A selling hedge using a synthetic long put option 189
Table 6 22 The result of a selling hedge in an inverse market using synthetic puts, after a
price rise 19°
Table 6 23 The result of a selling hedge in an inverse market using synthetic puts, after a
price decline 191
TABLES xi
Table 6 24 A selling hedge in a normal market using synthetic put options 192
Table 6 25 Result of a selling hedge in a normal market using synthetic long puts, after a
rise in price 192
Table 6 26 Result of a selling hedge in a normal market using synthetic long put options,
after a price decline 194
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| illustrated | Not Illustrated |
| indexdate | 2024-07-09T19:10:13Z |
| institution | BVB |
| isbn | 0471866253 |
| language | English |
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| physical | XI, 227 S. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Wiley |
| record_format | marc |
| series2 | IIA risk management series |
| spelling | Stephens, John J. 1945- Verfasser (DE-588)129457833 aut Managing commodity risk using commodity futures and options John J. Stephens Chichester [u.a.] Wiley 2001 XI, 227 S. txt rdacontent n rdamedia nc rdacarrier IIA risk management series Futures gtt Handel gtt Optiehandel gtt Risk management gtt Termijnhandel gtt Commodity futures Hedging (Finance) Options (Finance) HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010152546&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Stephens, John J. 1945- Managing commodity risk using commodity futures and options Futures gtt Handel gtt Optiehandel gtt Risk management gtt Termijnhandel gtt Commodity futures Hedging (Finance) Options (Finance) |
| title | Managing commodity risk using commodity futures and options |
| title_auth | Managing commodity risk using commodity futures and options |
| title_exact_search | Managing commodity risk using commodity futures and options |
| title_full | Managing commodity risk using commodity futures and options John J. Stephens |
| title_fullStr | Managing commodity risk using commodity futures and options John J. Stephens |
| title_full_unstemmed | Managing commodity risk using commodity futures and options John J. Stephens |
| title_short | Managing commodity risk |
| title_sort | managing commodity risk using commodity futures and options |
| title_sub | using commodity futures and options |
| topic | Futures gtt Handel gtt Optiehandel gtt Risk management gtt Termijnhandel gtt Commodity futures Hedging (Finance) Options (Finance) |
| topic_facet | Futures Handel Optiehandel Risk management Termijnhandel Commodity futures Hedging (Finance) Options (Finance) |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010152546&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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