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Tabella : Il Mercato a Termine

A CHI SERVE - Agricoltori - Commercianti

- Mangimisti

- Mugnai

- Essiccatoi cereali e soia

- Cooperative

- Detentori di stock

- Investitori

CARATTERISTICHE DEL CONTRATTO - Lotto Omogeneo

- Operazione nel tempo (futuro)

- Contratto impersonale

- Contratto garantito

- Indica un prezzo reale istantaneo essendo un prezzo d’asta

A COSA SERVE - A copertura dei rischi di variazione dei

prezzi

- Gestione delle scorte

- Gestione degli approvvigionamenti

- Leva finanziaria

- Per guadagnare o perdere denaro

CHE COSA SERVE - Una “borsa a termine” abilitata

- Operatori abilitati

- Una Cassa di Compensazione e Garanzia

COSTI - Costo dell’immobilizzo finanziario del margine di garanzia

- Costo dell’intermediazione di Borsa

Esempi: Futures con finalità di Hedging o Copertura dei

rischi Vediamo, attraverso alcuni esempi concreti, come un produttore agricolo

potrebbe sfruttare il mercato a termine. Per comodità useremo le regole di due

Borse a termine: quella di Parigi-Euronext e quella di Chicago. CBOT e CME

a) Contratto a T. Frumento, all’Euronext - Matif di Parigi-Londra

Supponiamo che alla semina a Novembre un agricoltore, sulla base delle

superfici da lui seminate, preveda un raccolto di 400 tonnellate di frumento per

Agosto dell’anno dopo, e che indipendentemente dall'evoluzione dei mercati egli

voglia ottenere un prezzo che copra i costi di produzione, più un ragionevole

margine di profitto.

L’Agricoltore stima, che 250 euro alla tonnellata, previsti al momento della

semina (novembre) sul Mercato a Termine di Parigi per scadenza Settembre ( data

della fine dei raccolti) dell’anno dopo, sia per lui un prezzo conveniente da indurlo

ad investire una quota della propria azienda a grano.

Egli prevede pertanto di ottenere ad Agosto un raccolto pari ad un

fatturato di 100.000 Euro sulla base delle previsioni del mercato a termine di

Novembre per Agosto.

L'agricoltore è inoltre conscio che sono possibili variazioni nel prezzo di

mercato “ a pronti” molto rilevanti dalla semina al raccolto.

Per garantirsi da queste variazioni di prezzo , a Novembre, alla semina ,

vende dei contratti sul mercato a termine.

Ordina al suo agente di Borsa di vendere 8 contratti da 50 tonnellate

cadauno a 250 euro alla tonnellata, scadenza Settembre (questa è la prima data

disponibile sul Matif).

La colonna di sinistra indica solo come si presenterebbe il problema senza

la presenza di un mercato a termine.

L’agricoltore può prevedere il quantitativo raccolto, il prezzo a pronti a

novembre per settembre sul MaT, ma non potrà sapere con certezza quale sarà

l’effettivo prezzo a settembre a pronti.

A Settembre dell’anno dopo, i timori dell'agricoltore si sono dimostrati

giustificati ed il prezzo del grano si è abbassato a 230 Euro a tonnellata.

L'agricoltore vende il suo prodotto a 230 Euro alla tonnellata sul mercato effettivo

(o del fisico). Si tratta di 20.Euro alla tonnellata in meno di quanto previsto e

desiderato.

Sul mercato a termine, i corsi si sono naturalmente abbassati per la

correlazione tra m.a.t. e mercato del fisico, a 230 euro alla tonnellata.

Avendo già venduto il suo prodotto sul mercato del fisico il produttore

compensa simultaneamente la sua posizione sul mercato a termine acquistando 8

contratti, per 200 tonnellate complessive, a 230 Euro alla tonnellata.

Quanto il produttore ha perso sul mercato del fisico lo ha recuperato sul

mercato a termine.

L'abbassamento dei prezzi non gli ha impedito di realizzare il suo

obiettivo di ricavare complessivamente 250 Euro alla tonnellata.

Nel caso in cui, a Settembre, il prezzo sul m.a.t. invece di scendere fosse

salito, il produttore avrebbe avuto il medesimo risultato finale.

L'operazione a termine si sarebbe chiusa con una perdita, che sarebbe a

sua volta stata compensata dal maggior guadagno sul mercato del fisico.

L'esempio è semplificato; mancano i costi di intermediazioni e di deposito

a garanzia delle operazioni di vendita e acquisto e la differenza (base) tra i corsi

del Mercato a termine e quello del Mercato del fisico ed inoltre, nel caso specifico,

operando su Parigi vi sono i rischi di cambio lira franco.

b) Soia al Chicago Board of Trade, considerando anche la base.

Assumiamo che un produttore di soia ai primi di agosto sia fiducioso

riguardo alle condizioni del suo prossimo raccolto. Egli ha seminato circa 100 ettari

di soia e spera di ottenere una produzione di almeno 27 quintali per ettaro, per un

totale di 2.700 quintali di soia (circa 10.000 bushel).

Opera come è schematizzato nella figura 4.

Il 7 agosto egli consulta il prezzo del futures a Chicago al CBT con

scadenza a novembre, prevedendo per quel periodo di avere già trebbiato e di

essere pronto per la vendita entro la fine di ottobre.

Il prezzo del futures a novembre è di $ 8,13 per bushel (v. nota n. 4).

Basandosi sulle sue informazioni egli nota che il prezzo nel mercato cash locale per

consegne differite è più basso del prezzo del futures, alla data di scadenza, di circa

$0,10 per bushel. Tale differenza è la così detta “Base”.

In considerazione del prezzo del futures a novembre egli ritiene che $8,03

per bushel siano un buon obiettivo di prezzo di vendita cash, o contanti, per la fine

di ottobre (momento in cui sarà pronto per la vendita).

Egli decide di coprirsi vendendo due contratti futures con scadenza a

novembre (al CBT un contratto futures sulla soia è uguale a circa 1360 q.li di soia,

circa 5.000 bushel). Supponiamo che al momento della trebbiatura il prezzo cash

sia caduto a causa delle rese più alte del previsto e della diminuzione della

domanda di alimenti per animali domestici.

Il 23 ottobre, quando l’agricoltore ha terminato la raccolta ed è pronto per

la vendita, il prezzo sul mercato locale è, di $7,88 per bushel (circa $29/q.le; 46.000

Lit/q.le), cioè circa $0,15/bushel al di sotto dei suoi obiettivi.

Anche il prezzo futures è diminuito, per la correlazione tra prezzi in

contanti e prezzi futures. Il 23 ottobre egli acquista due contratti futures con

scadenza novembre a $ 7,98/bushel. Questa operazione è simmetrica a quella fatta

alla semina e pertanto le due operazioni si compensano. Non è più obbligato a

ritirare la soia (contratto di acquisto) nè a ritirarla sulla base di questo contratto.

Deve solo regolare con la Borsa in contanti gli utili o le perdite delle due

operazioni.

L’agricoltore vende il suo prodotto sul mercato dell’effettivo ed ha

ottenuto il suo obiettivo di realizzare un prezzo precostituito: il prezzo realizzato è

infatti di $ 8.03/bu. In totale l’agricoltore ha fatto tre contratti: due sul mercato a

termine ed uno sul mercato del fisico o dell’effettivo, in Borsa merci.

Come abbiamo precisato la base è in questo caso ininfluente ed, in ogni

caso, per un produttore USA, anche se di grandi dimensioni, la base non

costituisce un problema enorme.

Nel caso di un produttore italiano che si copra al CBT, la base è rappresentata

dall’asimmetria tra il corso al CBT-soia-Chicago e il prezzo AGER-Bologna o

Milano-Borsa merci.

Se supponiamo di sovrapporre i grafici 1 e 2 per la soia, e 5 e 6 per il mais,

con i prezzi espressi nella stessa moneta e riferiti alla stessa unità di misura, ci

rendiamo conto di come la base sia un elemento rilevantissimo. Al momento, fino

a quando non sarà proposto un prodotto “assicurativo”, comprensivo di tutti

questi elementi, cosa per altro fattibile, non vi è nulla da fare.

Non abbiamo preso come esempio frumento Italia e frumento USA, suini Italia e

suini USA, in quanto si tratta di prodotti con caratteristiche intrinseche diverse e

occorrono altre considerazioni

I più importanti mercati a termine

Chicago è certamente la sede dei più importanti mercati a termine col

(Cbot) e il Chicago Mercantile Exchange . In queste sedi

Chicago Board of Trade 8

vengono trattati decine di prodotti, tra cui grano, orzo, mais, soia, farina di soia,

olio di soia, concimi fosfatici ed azotati, bestiame vivo, bestiame macellato,

pancette di maiale, maiali vivi, etahanolo, ecc. Quindici sono i Mercati a Termine

autorizzati negli Usa.

Per i frumenti di qualità particolarmente attivo è quello di Kansas City.

Importante Mercato a Termine per prodotti agricoli è anche New York.

8 Il Chicago Board of Trade ha di recente lanciato molti strumenti innovativi. Ad esempio le

trattative in continuo (dalle 10,30 p.m. alle 4,30 a.m. ora di Chicago) col cosiddetto Project A, per

prodotti agricoli. Nuovi contratti sono stati introdotti anche

Al di fuori degli Usa troviamo mercati a termine in Canada, noti in

particolare per l’orzo, oltre che per gli altri cereali, come al Winnipeg Commodity

Exchange, e in Australia per i cereali e lana.

In Asia, oltre che in Giappone a Tokyo per riso e soia, è particolarmente

importante per gli oli vegetali il mercato di Kuala Lampur in Malaysia.

Ad Amsterdam, nei Paesi bassi esiste un mercato a Termine per le merci

agricole l’AEX-Agrarische Termijnmarkt in Amsterdam (ATA).

Euronext

I mercati di Londra e Parigi ( LIFFE) si sono fusi nel circuito Euronext.

NYSE Euronext, the holding company created by the combination of

NYSE Group, Inc. and Euronext N.V, was launched on April 4, 2007. NYSE

Euronext (NYSE/New York and Euronext/Paris: NYX) operates the world's largest

and most liquid exchange group and offers the most diverse array of financial

products and services. NYSE Euronext, which brings together six cash equities

exchanges in seven countries and eight derivatives exchanges, is a world leader for

listings, trading in cash equities, equity and interest rate derivatives, bonds and the

distribution of market data.

NYSE Liffe lists a broad range of futures and options contracts covering soft and

agricultural products which include Cocoa, Robusta Coffee, White Sugar, Feed Wheat,

Milling Wheat, Rapeseed, and Corn. These contracts offer an effective and efficient tool

for hedging the price risk and volatility inherent in the underlying markets, providing

price transparency as well as providing the benchmark for physical transactions. In

addition, they are widely used as a vehicle for trading, investment and arbitrage

activity.

Contratti su Euronext

Name Market Code Vol. O.I.

Cocoa Fut. LON C 11,806 168,240

Corn Fut. PAR EMA 401 13,041

Feed Wheat Fut LON T 225 9,323

Milling Wheat Fut. PAR EBM 5,667 123,325

Rapeseed Fut. PAR ECO 2,669 47,900

Robusta Coffee Fut. (409) LON RC 2,525 83,626

White Sugar Fut LON W 11,322 73,841

Contract list

Cocoa Futures

Cocoa Options

Robusta Coffee Futures (No. 409)

Robusta Coffee Options

Corn Futures

Corn Options

Rapeseed Futures

Rapeseed Options

Rapeseed Oil Futures

Rapeseed Oil Options

Raw Sugar Futures

Raw Sugar Options

White Sugar Futures

White Sugar Options

Feed Wheat Futures

Feed Wheat Options

Milling Wheat Futures

Milling Wheat Options

Tabella : Caretteristica del Contratto frumento panificabile dd

Euronext, Paris . (Questo frumento è paragonabile al numero 2 Ager Bologna)

Unit of trading Fifty tonnes

Origins tenderable EU origin

Quality Sound, fair and merchantable quality of the following standard:

Specific weight 76 kg/hl

Moisture 15%

Broken grains 4%

Sprouted grains 2%

Impurities 2%

Premiums and discounts to reflect the difference between the delivered and

the standard quality apply in accordance with Incograin Contract No.23 and

the Technical Addendum No.2

Delivery months January, March, May, August, November such that eight delivery months are

available for trading

Price basis Euros and Euro cents per tonne, in an approved public silo in Rouen, France

Minimum price 25 Euro cents per tonne

movement (€12.50)

(tick size and

value)

Last trading day 18.30 on the tenth calendar day of the delivery month (if not a business day,

then the following business day)

Notice day/Tender The first business day following the last trading day

day

Tender period Any business day from the last trading day to the end of the specified

delivery month

Trading hours 10.45 - 18.30

Related Milling Wheat Futures

documentation

Last update 01/01/08

Prospettive di mercati a termine per l’Italia

Non tutti i prodotti si prestano per trattative a termine. Vi sono modelli

matematici complessi per definire l’attitudine o meno di un prodotto ad essere

trattato a termine. In realtà si è visto che solo la pratica sperimentazione decide del

successo o meno di un contratto a termine.

Vi sono contratti che sulla carta non dovrebbero esistere come quello del bestiame

vivo al CME, e che invece sono molto attivi, ed altri che dovrebbero ben

funzionare e che invece vivacchiano, come quello del cotone a New Orleans.

Fondamentalmente occorre un prodotto a) che abbia caratteristiche

omogenee, b) che sia facilmente stoccabile, c) e comprato e venduto in grandi

quantità e d) la presenza di una sufficiente volatilità nei prezzi.

E’ importante anche che lungo la cosiddetta “filiera” non vi siano

operatori o strutture monopolizzanti le trattative che creino un collo di bottiglia

obbligato e che pertanto costituiscano un impedimento alla formazione di un

prezzo in continuo trasparente. Gli stessi accordi interprofessionali potrebbero

essere teoricamente l’antitesi del mercato a termine, in quanto, almeno sulla carta

l’accordo supera le fasi di mercato. Le strutture cooperative di trasformazione sono

di ostacolo per la medesima ragione. Nello stesso tempo proprio le organizzazioni

professionali di prodotto e le cooperative di prima trasformazione (essiccatoi, silos,

frigoriferi per mele e pere, formaggi o prosciutti) hanno le caratteristiche per

diventare i principali operatori sul m.a.t. in quanto sono “concentratori” di elevate

quantità di prodotto e dotati di capacità finanziarie e di analisti di mercati.

Tab : Caratteristiche basi perché un prodotto sia trattato in un m.a.t.

Il manuale di Chicago- The Futures Contract

A futures contract is a commitment to make or take delivery of a specific

quantity and quality of a given commodity at a predetermined place and time in

the future. All terms of the contract are standardized and established in advance

except for the price, which is determined by open auction in a pit on the trading

floor of a regulated commodity exchange or through an exchange’s electronic

trading system.

All contracts are ultimately settled either through liquidation by offsetting

purchases or sales or by delivery of the actual physical commodity. An offsetting

transaction is the more frequently used method to settle a futures contract;

delivery usually occurs in less than 2 percent of all agricultural contracts traded.

Exchange Functions

The main economic functions of a futures exchange is price risk

management and price discovery. The exchange accomplishes these functions by

providing a facility and trading platforms that bring buyers and sellers together.

The exchange also establishes and enforces rules to ensure that trading takes place

in an open and competitive environment. For this reason, all bids and offers must

be made through the exchange either in a designated trading pit by open auction

or through the exchange’s electronic order-entry trading system.

All trades must be made by a member of the exchange. If you are not a

member, you work through a commodity broker. The broker calls in your order to

an exchange member who executes the order. Once an order is filled, you are

notified by your broker.

Can a futures price be considered a price prediction? In one sense, yes,

because the futures price at any given time reflects the price expectations of both

buyers and sellers at the time of delivery. This is how futures prices help to

establish a balance between production and consumption. But in another sense,

no, because a futures price is a price prediction subject to continuous change.

Futures prices adjust to reflect additional information about supply and demand

as it becomes available.

The CBOT itself does not in any way participate in the process of price

discovery. It is neither a buyer nor a seller of futures contracts, so it doesn’t have a

role or interest in whether prices

are high or low at any particular time. The role of the exchange is simply to

provide a central marketplace. It is in this marketplace where supply and demand

variables from around the world come together to discover price.

Market Participants

Futures market participants fall into two general

categories: hedgers and speculators.

Futures markets exist primarily for hedging, which is defined as the

management of price risks inherent in the ownership and transaction of

commodities.

The word hedge means protection. The dictionary states that to hedge is

“to try to avoid or lessen a loss by making counterbalancing investments...” In the

context of futures trading, that is precisely what a hedge is: a counterbalancing

investment involving a position in the futures market that is opposite one’s

position in the cash market. Since the cash market price and futures market price

of a commodity tend to move up and down together, any loss or gain in the cash

market will be roughly offset or counterbalanced in the futures market.

Hedgers include:

• farmers, livestock producers—who need protection against declining prices for

crops or livestock, or against rising prices of purchased inputs such as feed;

• merchandisers, elevators—who need protection against lower prices between

the time they purchase or contract to purchase grain from farmers and the time it

is sold;

• food processors, feed manufacturers—who need protection against increasing

raw material costs or against decreasing inventory values;

• exporters—who need protection against higher prices for grain contracted for

future delivery but not yet purchased; and

• importers—who want to take advantage of lower prices for grain contracted for

future delivery but not yet received.

Since the number of individuals and firms seeking protection against declining

prices at any given time is rarely the same as the number seeking protection

against rising prices, other market participants are needed.

These participants are known as speculators. Speculators facilitate

hedging by providing liquidity—the ability to enter and exit the market quickly,

easily and efficiently. They are attracted by the opportunity to realize a profit if

they prove to be correct in anticipating the direction and timing of price changes.

These speculators may be part of the general public or they may be floor traders—

members of the exchange operating in one of the trading pits.

Floor traders are noted for their willingness to buy and sell on even the

smallest of price changes. Because of this a seller can, at almost any time, find a

buyer at or near the most recently quoted price. Similarly, buyers can find willing

sellers without having to significantly bid up the price.

Financial Integrity of Markets Margin, in the futures industry, is money

that you as a buyer or seller of futures contracts must deposit with your broker

and that brokers in turn must deposit with the Chicago Board of Trade Clearing

Service Provider. These funds are used to ensure contract performance, much like

a performance bond. This differs from the securities industry, where margin is

simply a down payment required to purchase stocks and bonds.

The amount of margin a customer must maintain on deposit with his or

her brokerage firm is set by the firm itself, subject to certain minimum levels

established by the exchange where the contract is traded. If a change in the futures

price results in a loss on an open futures position from one day to the next, funds

will be withdrawn from the customer’s margin account to cover the loss. If a

customer must deposit additional money in the account to comply with the

margin requirements

it is known as receiving a margin call. On the other hand, if a price change results

in a gain on an open futures position, the amount of gain will be credited to the

customer’s margin account. A customer may make withdrawals from one’s margin

account at any time, provided the withdrawals do not reduce the account balance

below the required minimum. Once an open position has been closed by an

offsetting trade, any money in the margin account not needed to cover losses or

provide margin for other open positions may be withdrawn by the customer.

The Chicago Board of Trade Clearing Service Provider performs the

clearing operations for the CBOT. Just as every transaction on the trading floor

must be executed by or through a CBOT member, every trade must be cleared by

or through a clearing member firm.

In the clearing operation, the connection is severed between the original

buyer and seller. In its place, the Clearing Service Provider assumes the opposite

side of each open position and thereby ensures the financial integrity of every

futures contract traded at the Chicago Board of Trade. This assurance is

accomplished through the mechanism of daily cash settlements. Each day, the

Clearing Service Provider determines the gain or loss on each trade. It then

calculates total gains or losses on all trades cleared by each clearing member firm.

If a firm has incurred a net loss for the day, its account is debited and the firm may

be required to deposit additional margin with the Clearing Service Provider.

Conversely, if the firm has a net gain for the day, the firm receives a credit to its

account. The firm then credits or debits each individual customer account. Since

1925, no customer has ever incurred a loss due to default of a clearing member

firm.

Hedging with Futures and Basis

Hedging is based on the principle that cash market prices and futures

market prices tend to move up and down together. This movement is not

necessarily identical, but it usually is close enough that it is possible to lessen the

risk of a loss in the cash market by taking an opposite position in the futures

market. Taking opposite positions allows losses in one market to be offset by gains

in the other. In this manner, the hedger is able to establish a price level for a cash

market transaction that may not actually take place for several months.

The Short Hedge

To give you a better idea of how hedging works, let’s suppose it is May

and you are a soybean farmer with a crop in the field; or perhaps an elevator

operator with soybeans you have purchased but not yet sold. In market

terminology, you have a long cash market position. The current cash market price

for soybeans to be delivered in October is $6.00 per bushel. If the price goes up

between now and October, when you plan to sell, you will gain. On the other

hand, if the price goes down during that time, you will have a loss.

To protect yourself against a possible price decline during the coming

months, you can hedge by selling a corresponding number of bushels in the

futures market now and buying them back later when it is time to sell your crops

in the cash market. If the cash price declines by harvest, any loss incurred will be

offset by a gain from the hedge in the futures market. This particular type of hedge

is known as a short hedge because of the initial short futures position.

With futures, a person can sell first and buy later or buy first and sell later.

Regardless of the order in which the transactions occur, buying at a lower price

and selling at a higher price will result in a gain on the futures position. Selling

now with the intention of buying back at a later date gives you a short futures

market position. A price decrease will result in a futures gain, because you will

have sold at a higher price and bought at a lower price. For example, let’s assume

cash and futures prices are identical at $6.00 per bushel. What happens if prices

decline by $1.00 per bushel? Although the value of your long cash market position

decreases by $1.00 per bushel, the value of your short futures market position

increases by $1.00 per bushel. Because the gain on your futures position is equal to

the loss on the cash position, your net selling price is still $6.00 per bushel.

What if soybean prices had instead risen by $1.00 per bushel? Once again,

the net selling price would have been $6.00 per bushel, as a $1.00 per bushel loss

on the short futures position would be offset by a $1.00 per bushel gain on the long

cash position.

Notice in both cases the gains and losses on the two market positions

cancel out each other. That is, when there is a gain on one market position, there is

a comparable loss on the other. This explains why hedging is often said to “lock

in” a price level.

In both instances, the hedge accomplished what it set out to achieve: It

established a selling rice of $6.00 per bushel for soybeans to be delivered in

October. With a short hedge, you give up the opportunity to benefit from a price

increase to obtain protection against a price decrease.

The Long Hedge

On the other hand, livestock feeders, grain importers, food processors,

and other buyers of agricultural products often need protection against rising

prices and would instead use a long hedge involving an initial long futures

position.

For example, assume it is July and you are planning to buy corn in

November. The cash market price in July for corn delivered in November is $2.50

per bushel, but you are concerned that by the time you make the purchase, the

price may be much higher. To protect yourself against a possible price increase,

you buy December corn futures at $2.50 per bushel. What would be the outcome if

corn prices increase 50 cents per bushel by November?

In this example, the higher cost of corn in the cash market was offset by a

gain in the futures market. Conversely, if corn prices decreased by 50 cents per

bushel by November, the lower cost of corn in the cash market would be offset by

a loss in the futures market. The net purchase price would still be $2.50 per bushel.

Remember, whether you have a short hedge or a long hedge, any losses

on your futures position may result in a margin call from your broker, requiring

you to deposit additional funds to your margin account. As previously discussed,

adequate funds must be maintained in the account to cover day-to-day losses.

However, keep in mind that if you are incurring losses on your futures market

position, then it is likely that you are incurring gains on your cash market position.

Basis: The Link Between Cash and Futures Prices

All of the examples just presented assumed identical cash and futures

prices. But, if you are in a business that involves buying or selling grain or

oilseeds, you know the cash price in your area or what your supplier quotes for a

given commodity usually differs from the price quoted in the futures market.

Basically, the local cash price for a commodity is the futures price adjusted for

such variables as freight, handling, storage and quality, as well as the local supply

and demand factors.

The price difference between the cash and futures prices may be slight or

it may be substantial, and the two prices may not always vary by the same

amount. This price difference (cash price - futures price) is known as the basis.

A primary consideration in evaluating the basis is its potential to

strengthen or weaken. The more positive (or less negative) the basis becomes, the

stronger it is. In contrast, the more negative (or less positive) the basis becomes,

the weaker it is.

For example, a basis change from 10 cents under (a cash price $.10 less

than the futures price) to a basis of 5 cents under (a cash price $.05 less than the

futures price) indicates a strengthening basis, even though the basis is still

negative. On the other hand, a basis change from 20 cents over (a cash price $.20

more than the futures price) to a basis of 15 cents over (a cash price

$.15 more than the futures price) indicates a weakening basis, despite the fact that

the basis is still positive. (Note: Within the grain industry a basis of 15 cents over

or 15 cents under a given futures contract is usually referred to as “15 over” or “15

under.” The word “cents” is dropped.)

Basis is simply quoting the relationship of the local cash price to the

futures price.

Basis and the Short Hedger

Basis is important to the hedger because it can affect the final outcome of a

hedge. For example, suppose it is March and you plan to sell wheat to your local

elevator in mid-June. The July wheat futures price is $3.50 per bushel, and the cash

price in your area in mid-June is normally about 35 under the July futures price.

The approximate price you can establish by hedging is $3.15 per bushel

($3.50 - $.35) rovided the basis is 35 under. The previous table shows the results if

the futures price declines to $3.00 by June and the basis is 35 under. Suppose,

instead, the basis in mid-June had turned out to be 40 under rather than the

expected 35 under. Then the net selling price would be $3.10, rather than $3.15.

This example illustrates how a weaker-thanexpected basis reduces your

net selling price. And, as you might expect, your net selling price increases with a

stronger-than-expected basis. Look at the following example. As explained earlier,

a short hedger benefits from a strengthening basis. This information is important

to consider when hedging. That is, as a short hedger, if you like the current futures

price and expect the basis to strengthen, you should consider hedging a portion of

your crop or inventory as shown in the next table. On the other hand, if you expect

the basis to weaken and would benefit from today’s prices, you might consider

selling your commodity now.

Basis and the Long Hedger

How does basis affect the performance of a long hedge? Let’s look first at

a livestock feeder who in October is planning to buy soybean meal in April. May

soybean meal futures are $170 per ton and his local basis in April is typically $20

over the May futures price, for an expected purchase

price of $190 per ton ($170 + $20). If the futures price increases to $200 by April and

the basis is $20 over, the net purchase price remains at $190 per ton.

What if the basis strengthens—in this case, more positive—and instead of

the expected $20 per ton over, it is actually $40 per ton over in April? Then the net

purchase price increases by $20 to $210.

Conversely, if the basis weakens moving from $20 over to $10 over, the

net purchase price

drops to $180 per ton ($210 - $30). Notice how long hedgers benefit from a

weakening basis—just the opposite of a short hedger. What is important to

consider when hedging is basis history and market expectations.

As a long hedger, if you like the current futures price and expect the basis

to weaken, you should consider hedging a portion of your commodity purchase.

On the other hand, if you expect the basis to strengthen and like today’s prices,

you might consider buying your commodity now.

Hedging with futures offers you the opportunity to establish an

approximate price months in

advance of the actual sale or purchase and protects the hedger from unfavorable

price changes. This is possible because cash and futures prices tend to move in the

same direction and by similar amounts, so losses in one market can be offset with

gains in the other. Although the futures hedger is unable to benefit from favorable

price changes, you are protected from unfavorable market moves.

Basis risk is considerably less than price risk, but basis behavior can have

a significant impact on the performance of a hedge. A stronger-thanexpected basis

will benefit a short hedger, while a weaker-than-expected basis works to the

advantage of a long hedger.

Importance of Historical Basis

By hedging with futures, buyers and sellers are eliminating futures price

level risk and assuming basis level risk. Although it is true that basis risk is

relatively less than the risk associated with either cash market prices or futures

market prices, it is still a market risk. Buyers and sellers of commodities can do

something to manage their basis risk. Since agricultural basis tends to follow

historical and seasonal patterns, it makes sense to keep good historical basis

records. The table below is a sample of a basis record. Although there are

numerous formats available, the content should include: date, cash market price,

futures market price (specify contract

month), basis and market factors for that date. This information can be put into a

chart format as well.

Basis Table Notes:

1) The most common type of basis record will track the current cash

market price to the nearby futures contract month price. It is a good

practice to switch the nearby contract month to the next futures contract

month prior to entering the delivery month. For example, beginning with

the second from last business day in November, switch tracking from

December corn futures to the March corn futures (the next contract month

in the corn futures cycle).

2) It is common to track basis either daily or weekly. If you choose to keep

track of basis on a weekly schedule, be consistent with the day of the week

you follow. Also, you may want to avoid tracking prices and basis only on

Mondays or Fridays.

3) Basis tables will help you compare the current basis with the expected

basis at the time of your purchases or sales. In other words, it will help

determine if a supplier’s current offer or an elevator’s current bid is

stronger or weaker than expected at the time of the purchase or sale.

4) Putting basis information from multiple years on a chart will highlight

the seasonal and historical patterns. It will also show the historical basis

range (strongest and weakest levels) for any given time period.

Futures Hedging Strategies for Buying and Selling

Commodities

Now that you have a basic understanding of how futures contracts are

used to manage price risks and how basis affects your buying and selling

decisions, it is time to try your hand at a few strategies. Upon completing this

chapter, you should be able to:

• recognize those situations when you will benefit most from hedging

• calculate the dollars and cents outcome of a given strategy, depending

on market conditions

• understand the risks involved with your marketing decisions

The strategies covered in this chapter include:

• buying futures for protection against rising commodity prices

• selling futures for protection against falling commodity prices

To review some of the points from the preceding chapter, hedging is used

to manage your price risks. If you are a buyer of commodities and want to hedge

your position, you would initially buy futures contracts for protection against

rising prices. At a date closer to the time you plan to actually purchase the physical

commodity, you would offset your futures position by selling back the futures

contracts you initially bought. This type of hedge is referred to as a long hedge.

Long hedgers benefit from a weakening basis. On the other hand, if you

sell commodities and need protection against falling prices, you would initially

sell futures contracts. At a date closer to the time you price the physical

commodity, you would buy back the futures contracts you initially sold.

This is referred to as a short hedge. Short hedgers benefit from a

strengthening basis. The following strategies are examples of how those in

agribusiness use futures contracts to manage price risks. Also, note how basis

information is used in making hedging decisions and how changes in the basis

affect the final outcome.

Buying Futures for Protection Against Rising Prices

Assume you are a feed manufacturer and purchase corn on a regular

basis. It is December and you are in the process of planning your corn purchases

for the month of April—wanting to take delivery of the corn during mid-April.

Several suppliers in the area are offering longterm purchase agreements,

with the best quote among them of 5 cents over May futures. CBOT May futures

are currently trading at $2.75 per bushel, equating to a cash forward offer of $2.80

per bushel. If you take the long-term purchase agreement, you will lock in the

futures price of $2.75 per bushel and a basis of 5 cents over, or a flat price of $2.80

per bushel. Or, you could establish a futures hedge, locking in a futures price of

$2.75 per bushel but leaving the basis open.

In reviewing your records and historical prices, you discover the spot

price of corn in your area during mid-April averages 5 cents under the May

futures price. And, based on current market conditions and what you anticipate

happening between now and April, you believe the mid-April basis will be close

to 5 cents under.

Action

Since you like the current futures price but anticipate the basis weakening,

you decide to hedge your purchase using futures rather than entering into a long-

term purchase agreement. You purchase the number of corn contracts equal to the

amount of corn you want to hedge. For example, if you want to hedge 15,000

bushels of corn, you buy (go “long”) 3 corn futures contracts because each contract

equals 5,000 bushels.

By purchasing May corn futures, you lock in a purchase price of $2.80 if

the basis remains unchanged (futures price of $2.75 + the basis of $.05 over). And,

if the basis weakens, you will benefit from any basis appreciation. Of course, you

realize the basis could surprise you and strengthen, but, based on your records

and market expectations, you feel it is in your best interest to hedge your

purchases.

Prices Increase Scenario

If the price increases and the basis remains unchanged at 5 cents over, you

will purchase corn at $2.80 per bushel (futures price of $2.75 + the basis of $.05

over). But if the price increases and the basis weakens, the purchase price is

reduced. Assume by mid-April, when you need to purchase the physical corn, the

May futures price has increased to $3.25 and the best offer for physical corn in

your area is $3.20 per bushel (futures price - the basis of $.05 under).

With the futures price at $3.25, the May corn futures contract is sold back

for a net gain of 50 cents per bushel ($3.25 - $2.75). That amount is deducted from

the current local cash price of corn, $3.20 per bushel, which equals a net purchase

price of $2.70. Notice the price is 10 cents lower than what you would have paid

for corn through a long-term purchase agreement. The lower price is a result of a

weakening of the basis, moving from 5 cents over to 5 cents under May futures.

Prices Decrease Scenario

If prices decrease and the basis remains unchanged, you will still pay

$2.80 per bushel for corn. Hedging with futures provides protection against rising

prices, but it does not allow you to take advantage of lower prices. In making the

decision to hedge, one is willing to give up the chance to take advantage of lower

prices in return for price protection. On the other hand, the purchase price will be

lower if the basis weakens.

Assume by mid-April the May futures price is $2.45 per bushel and the

best quote offered by an area supplier is also $2.45 per bushel. You purchase corn

from the supplier and simultaneously offset your futures position by selling back

the futures contracts you initially bought. Even though you were able to purchase

cash corn at a lower price, you lost 30 cents on your

futures position. This equates to a net purchase price for corn of $2.75. The

purchase price is still 5 cents lower than what you would have paid for corn

through a long-term purchase agreement.

Again, this difference reflects a weakening of the basis from 5 cents over to

even (no basis). In hindsight, you would have been better off neither taking the

long-term purchase agreement nor hedging because prices fell. But your job is to

purchase corn, add value to it, and sell the final product at a profit. If you don’t do

anything to manage price risk, the result could be disastrous to your firm’s bottom

line. Back in December, you evaluated the price of corn, basis records, and your

firm’s expected profits based upon that information. You determined by hedging

and locking in the price for corn your firm could earn a profit. You also believed

the basis would weaken, so you hedged to try and take advantage of a weakening

basis. Therefore, you accomplished what you intended. The price of corn could

just as easily have increased.

Prices Increase/Basis Strengthens Scenario

If the price rises and the basis strengthens, you will be protected from the

price increase by hedging but the strengthening basis will increase the final net

purchase price relative to the long-term purchase agreement. Assume in mid-April

your supplier is offering corn at $3.10 per bushel and the May futures contract is

trading at $3.03 per bushel. You purchase the physical corn and offset your futures

position by selling back your futures contracts at $3.03. This provides you with a

futures gain of 28 cents per bushel, which lowers the net purchase price. However,

the gain does not make up entirely for the higher price of corn. The 2-cent

difference between the long-term purchase agreement and the net purchase price

reflects the strengthening basis.

As we’ve seen in the preceding examples, the final outcome of a futures

hedge depends on what happens to basis between the time a hedge is initiated and

offset. In those scenarios, you benefitted from a weakening basis. In regard to

other marketing alternatives, you may be asking yourself how does futures

hedging compare? Suppose you had entered a long-term purchase agreement

instead of hedging? Or maybe you did nothing at all— what happens then?

The table above compares your alternatives illustrating the potential net

purchase price under several possible futures prices and basis scenarios. You can

not predict the future but you can

manage it. By evaluating your market expectations for the months ahead and

reviewing past records, you will be in a better position to take action and not let a

buying opportunity pass you by.

Alternative 1 shows what your purchase price would be if you did

nothing at all. While you would benefit from a price decrease you are at

risk if prices increase and unable to manage your bottom line.

Alternative 2 shows what your purchase price would be if you established

a long hedge in December, offsetting the futures position when you

purchase physical corn in April. As you can see, a changing basis affects

the net purchase price but not as much as a significant price change.

Alternative 3 shows what your purchase price would be if you entered a

long-term purchase agreement in December. Basically, nothing affected

your final purchase price but you could not take advantage of a

weakening basis or lower prices.

Selling Futures for Protection Against Falling Prices

Assume you are a corn producer. It is May 15 and you just finished

planting your crop. The weather has been unseasonably dry, driving prices up

significantly. However, you feel the weather pattern is temporary and are

concerned corn prices will decline before harvest. Currently, December corn

futures are trading at $2.70 per bushel and the best bid on a forward contract is

$2.45 per bushel, or 25 cents under the December futures contract. Your estimated

cost of production is $2.10 per bushel. Therefore, you could lock in a profit of 35

cents per bushel through this forward contract. Before entering into the contract,

you review historical prices and basis records and discover the local basis during

mid-November is usually about 15 cents under December futures.

Action

Because the basis in the forward contract is historically weak, you decide

to hedge using futures. You sell the number of corn contracts equal to the amount

of corn you want to hedge.

For example, if you want to hedge 20,000 bushels of corn, you sell (go

“short”) 4 corn futures contracts because each futures contract equals 5,000


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DETTAGLI
Corso di laurea: Corso di laurea in cooperazione internazionale e sviluppo
SSD:
A.A.: 2011-2012

I contenuti di questa pagina costituiscono rielaborazioni personali del Publisher Atreyu di informazioni apprese con la frequenza delle lezioni di Politica energetica per lo sviluppo sostenibile e studio autonomo di eventuali libri di riferimento in preparazione dell'esame finale o della tesi. Non devono intendersi come materiale ufficiale dell'università La Sapienza - Uniroma1 o del prof Piccinini Antonio.

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