Mercati agricoli a pronti e a futures
Tabella : Il Mercato a Termine
A CHI SERVE - Agricoltori - Commercianti
- Essiccatoi cereali e soia
- Detentori di stock
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
- 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
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
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
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).
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
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
Robusta Coffee Futures (No. 409)
Robusta Coffee 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
Broken grains 4%
Sprouted grains 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
(tick size and
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
Tender period Any business day from the last trading day to the end of the specified
Trading hours 10.45 - 18.30
Related Milling Wheat Futures
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
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.
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.
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
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.
• 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
• 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
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
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
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
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
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
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.
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
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.
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
+1 anno fa
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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