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Full Description
Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. Commodities are often used as inputs in the production of other products, and commodity prices are notoriously volatile. Derivatives include forwards, futures, options, and swaps; all are types of contracts that allow buyers and sellers to establish the price at one time and exchange the commodity at another.
These contracts can be used to establish a price now for a purchase or sale that will occur later, or establish a price later for a purchase or sale now. This book provides detailed examples for using derivatives to manage prices by hedging, using futures, options, and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time. Finally, because the relationship between a commodity price and a derivative price is not constant, this book examines the impact of basis behaviour on hedging results, and shows how the basis can be bought and sold like a commodity.
The material in this book is based on the author's 30-year career in commodity derivatives, and is essential reading for students planning careers as commodity merchandisers, traders, and related industry positions. Not only does it provide them with the necessary theoretical background, it also covers the practical applications that employers expect new hires to understand. Examples are coordinated across chapters using consistent prices and formats, and industry terminology is used so students can become familiar with standard terms and concepts. This book is organized into 18 chapters, corresponding to approximately one chapter per week for courses on the semester system.
Contents
List of figures; List of tables; Preface; CHAPTER 1. INTRODUCTION; What is a Commodity?; What is a Derivative?; CHAPTER 2. TRADING FUTURES AND OPTIONS; Pit Trading; Electronic Trading; CHAPTER 3. UNDERSTANDING AND INTERPRETING FUTURES PRICES; How Futures Prices Are Quoted; Measures of Trading Activity; Interpreting Price Differences: Time, Space, and Form; CHAPTER 4. MARGINS, CLEARING, DELIVERY, AND FINAL SETTLEMENT; Margins in Futures Trading; Margin Account Example; Final Settlement via Delivery; Final Settlement via Cash Settlement; CHAPTER 5. MARKET REGULATION; Futures as Contracts; Contract Specifications; Regulation by Exchanges; Regulation by the Federal Government; Self-Regulation by the Industry; Applications in Other Sectors and Countries; Appendix 5.1; CHAPTER 6. HEDGING WITH FUTURES; The Role of Correlation; Hedging Against a Price Increase; Hedging Against a Price Decrease; More on the Role of Correlation: An Example from the Corn Market; Price Changes vs. Prices Levels: The Importance of Returns; CHAPTER 7. HEDGING AND THE BASIS; Hedging and Basis Changes; Long Hedging and Basis Behavior; Short Hedging and Basis Behavior; CHAPTER 8. HEDGING ENHANCEMENTS; Types of Hedges; Rolling a Hedge; Cross-Hedging; CHAPTER 9. PROFIT MARGIN HEDGING AND INVERSE HEDGING; Profit Margin Hedging; Inverse Hedging; CHAPTER 10. HEDGING AND BASIS TRADING; Redefining the Basis and the Cash Price; Commercial Hedging; CHAPTER 11. BASIS TRADING AND ROLLING A HEDGE; Rolling a Hedge to Capture a Favorable Basis; Spread Impact on Hedging Results; CHAPTER 12. SPECULATION WITH FUTURES; Speculation vs. Investment; Speculative Styles; Commitments of Traders; Speculative Participation in Commodity Futures; CHAPTER 13. INTRODUCTION TO OPTIONS ON FUTURES; How Options Work; Options on Futures; Options on Actuals; CHAPTER 14. OPTION PRICING; The Black Model; Put-Call Parity; Option Sensitivity and the Greeks; Summary; CHAPTER 15. PROFIT TABLES AND PROFIT DIAGRAMS; Futures and Cash Positions: Linear Profits; Options Positions: Nonlinear Profits; Discussion; CHAPTER 16. HEDGING WITH OPTIONS; Option-Based Hedging Strategies; Delta-Neutral Hedging; Synthetic Futures and Options; CHAPTER 17. SPECULATING WITH OPTIONS; Intrinsic Value Strategies; Time Value Strategies; Volatility Strategies; Spread Strategies; CHAPTER 18. COMMODITY SWAPS; Swaps and Forwards; Swap Features and Applications; The Market for Commodity Swaps; Index
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