Joseph J O Neill September 10 2010 Joseph J

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 棉花走势

ECONOMIC PURPOSE OF FUTURES & OPTIONS MARKETS 期货、期权市场的经济目的 Ø Ø 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 Ø Fundamental 基本分析 Ø Technical 技术分析

Fundamental Analysis基本分析 u. Supply and Demand 供求关系

Fundamental Factors基本因素 u Prices of other commodities其他商品价格 u Battle for crop land 耕地征用 u Price determines winner 价格决定胜负 u Wheat-Russia 小麦-俄国 u Corn-Ethanol 玉米酒精生产 u Cotton-high demand-shrinking supplies 棉花-高需求-低供给 8

Fundamental Factors基本因素 u Size of US crop 美国农作物规模 u Chinese production 中国生产 u Chinese supply 中国供给 u Indian situation 印度状况 u Floods in Pakistan 巴基斯坦洪水 u World Supply 世界供给 u World demand 世界需求 9

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 14

Call Sales卖出合约 u. Call Sales- Sales of cotton-Price not yet fixed 卖出合约-棉花销售-价格未定 u. Price fixed at the discretion of mill buyer 价格根据厂买方而定 u. Assures supply without having to fix price确保供给无需定价 15

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 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 Totals 88, 547 8, 386 16 12, 206 194 204, 495 17, 242

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Volatility易变性 18

Volatility易变性 u Since 2008 volatility for cotton has increased dramatically 自 2008年来棉花价格波动剧烈 u Price ranges for December futures 12月棉花期货价格范围 u 1991 thru 2007 21 cents per pound 1991至 2007年：每磅21美分 u 2008 61 cents per pound 2008年：每磅61美分 u 2009 65 cents per pound 2009年：每磅65美分 u 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 21

MILL HEDGING 套期保值 In general, mills are: 总体来说，厂是： u u u 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 22

MILL CHOICES 厂选择 u u u 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 23

Hoping is like 相同期望 24

HOPE & DON’T FIX CASH 期望和不固定现金 u 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 u Disadvantage - You don’t always get what you want 缺点—无法达到期望 25

BUY FUTURES购买期货 u Advantages优点 – u 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 26

BUY CALL OPTIONS 购买看涨期权 u. 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 u. 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 u 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 – u No margin calls 无追加保证金 Disadvantages缺点 – Cost of Options 期权成本 28

Mill Hedge Example 厂套期保值示例厂 Assumptions假设 u Mill is hedging cotton for Dec/January delivery 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 u 现金/期货基差为 10美分 29

Buy Cotton 20/08/10 购买棉花 08/20/2010 u. Fix price basis futures 84 cents固定价格期货基差 84美分 u. Basis 10 cents on 基差 10美分 u. Total cost 94 cents 总成本 94美分 30

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 31

Futures Price goes to 110 期货价格至 110 u. Maximum Price is already fixed u最高价已定 u. Cost of cotton 97. 92 cents u棉花成本为 97. 92美分 32

Price goes down to 58 cents 价格降至 58美分 u. Price 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 u. Your cost 71. 92 您的成本是 71. 92美分 33

Results 结果Cost of Cotton 棉花成本 u Futures Price w/o option w option 期货价格无期权带期权 u 84 cents 94 cents 97. 92 u 84美分 97. 92 美分 u 110 cents 94 cents 97. 92 u 110 美分 94 美分 97. 92美分 u 58 cents 94 cents 71. 92 u 58 美分 94 美分 71. 92美分 34

u. Thank You 谢谢 35