




已阅读5页,还剩12页未读, 继续免费阅读
版权说明:本文档由用户提供并上传,收益归属内容提供方,若内容存在侵权,请进行举报或认领
文档简介
Chapter 7 Hedging with Spreads,What is hedging?,When a businessperson uses the futures market to protect against adverse price movements, the process is called hedging. Hedging involves taking a position in the futures market that is opposite to the position held in the cash or spot market.,If a businessperson buys a commodity in the cash market, he or she would then hedge that position by selling an equivalent quantity in the futures market.,Selling Hedge,The buying hedge is used by a businessperson who anticipates buying a commodity at a future date and wants protection from a possible price increase. This person is said to be short the cash market and so would take a long position in the futures market (be a buyer).,Buying Hedge,Hedging not only protects against the possible losses from adverse price movement; it also takes away the possibility of windfall profits that can accrue as the result of favorable price moves.,Conclusion:,The Basis 基差,The difference between the futures price and the spot price is known as the basis.,_ Date Cash March Futures Basis November $5.30/bushel $5.47/bushel $-0.17 February $5.10/bushel $5.22/bushel $-0.12 Gain or Loss $-0.20 $-0.15 ,Base Example,SPREADS AND STRADDLES (套利和对冲),A spread is simply the simultaneous buying of one contract and selling of another. The price difference between two related markets or commodities. The purchase of one futures delivery month against the sale of another futures delivery month of the same commodity;,A spread can also apply to options. It involves buying one futures contract and selling another futures contract. The purpose is to profit from an unexpected change in the relationship between the purchase price of one and the selling price of the other.,SPREADS AND STRADDLES 套利和对冲,Because gains and losses occur only as the result of a change in the price difference rather than as a result of a change in the overall level of futures prices - spreads are often considered more conservative and less risky than having an outright long or short futures position .,SPREADS AND STRADDLES 套利和对冲,1. Intra-commodity Spread,There are two types of spreads,2. Intercommodity Spread,TRADING SPREADS,Profits in spread trading are made in one of three ways,1. Spreads are often very reliable from the standpoint of seasonality. 2. Spread margins are generally very low or even zero. 3. Some (but not all) spreads are lower in risk than either long or short positions. 4. There are a number of good timing indicators for entering and exiting spreads.,Why Trade Spreads?,Many intracommodity spreads have extremely low margins. In other words, there is no specific margin on these spreads.,Margin Requirements on Spreads,A common but not necessarily wise procedure for spread entry and exit is the legging in and legging out procedure. As the term implies, this technique involves entering a spread one side, or leg, at a time or exiting a spread one side, or leg, at a time.,Legging In and Legging Out,This is a technique that can not only complicate matters but also increase the risk of losses.,Legging In and Legging Out,A Market Order Is Advisable
温馨提示
- 1. 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。图纸软件为CAD,CAXA,PROE,UG,SolidWorks等.压缩文件请下载最新的WinRAR软件解压。
- 2. 本站的文档不包含任何第三方提供的附件图纸等,如果需要附件,请联系上传者。文件的所有权益归上传用户所有。
- 3. 本站RAR压缩包中若带图纸,网页内容里面会有图纸预览,若没有图纸预览就没有图纸。
- 4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
- 5. 人人文库网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对用户上传分享的文档内容本身不做任何修改或编辑,并不能对任何下载内容负责。
- 6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
- 7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。
评论
0/150
提交评论