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by Paul E. Peterson (Author)
About the Author
Paul E. Peterson is a Clinical Professor of Finance at the University of Illinois at Urbana-Champaign. His primary focus is futures and options markets, particularly in relation to commodity prices and risk management. Other interests include marketing practices and pricing issues.
About this book
Commodity Derivatives: A Guide for Future Practitioners describes the origins and uses of these important markets. Commodities are often used as inputs in the production of other products, and commodity prices are notoriously volatile. Derivatives include forwards, futures, options, and swaps; all are types of contracts that allow buyers and sellers to establish the price at one time and exchange the commodity at another.
These contracts can be used to establish a price now for a purchase or sale that will occur later, or establish a price later for a purchase or sale now. This book provides detailed examples for using derivatives to manage prices by hedging, using futures, options, and swaps. It also presents strategies for using derivatives to speculate on price levels, relationships, volatility, and the passage of time. Finally, because the relationship between a commodity price and a derivative price is not constant, this book examines the impact of basis behaviour on hedging results, and shows how the basis can be bought and sold like a commodity.
The material in this book is based on the author’s 30-year career in commodity derivatives, and is essential reading for students planning careers as commodity merchandisers, traders, and related industry positions. Not only does it provide them with the necessary theoretical background, it also covers the practical applications that employers expect new hires to understand. Examples are coordinated across chapters using consistent prices and formats, and industry terminology is used so students can become familiar with standard terms and concepts. This book is organized into 18 chapters, corresponding to approximately one chapter per week for courses on the semester system.
Brief contents
CHAPTER 1. INTRODUCTION
What is a Commodity?
What is a Derivative?
CHAPTER 2. TRADING FUTURES AND OPTIONS
Pit Trading
Electronic Trading
CHAPTER 3. UNDERSTANDING AND INTERPRETING FUTURES PRICES
How Futures Prices Are Quoted
Measures of Trading Activity
Interpreting Price Differences: Time, Space, and Form
CHAPTER 4. MARGINS, CLEARING, DELIVERY, AND FINAL SETTLEMENT
Margins in Futures Trading
Margin Account Example
Final Settlement via Delivery
Final Settlement via Cash Settlement
CHAPTER 5. MARKET REGULATION
Futures as Contracts
Contract Specifications
Regulation by Exchanges
Regulation by the Federal Government
Self-Regulation by the Industry
Applications in Other Sectors and Countries
Appendix 5.1
CHAPTER 6. HEDGING WITH FUTURES
The Role of Correlation
Hedging Against a Price Increase
More on the Role of Correlation: An Example from the Corn Market
Price Changes vs. Prices Levels: The Importance of Returns
CHAPTER 7. HEDGING AND THE BASIS
Hedging and Basis Changes
Long Hedging and Basis Behavior
Short Hedging and Basis Behavior
CHAPTER 8. HEDGING ENHANCEMENTS
Types of Hedges
Rolling a Hedge
Cross-Hedging
CHAPTER 9. PROFIT MARGIN HEDGING AND INVERSE HEDGING
Profit Margin Hedging
Inverse Hedging
CHAPTER 10. HEDGING AND BASIS TRADING
Redefining the Basis and the Cash Price
Commercial Hedging
CHAPTER 11. BASIS TRADING AND ROLLING A HEDGE
Rolling a Hedge to Capture a Favorable Basis
Spread Impact on Hedging Results
CHAPTER 12. SPECULATION IN FUTURES
Speculation vs. Investment
Speculative Styles
Commitments of Traders
Speculative Participation in Commodity Futures
CHAPTER 13. INTRODUCTION TO OPTIONS ON FUTURES
How Options Work
Options on Futures
Options on Actuals
CHAPTER 14. OPTION PRICING
The Black Model
Put-Call Parity
Option Sensitivity and the Greeks
Summary
CHAPTER 15. PROFIT TABLES AND PROFIT DIAGRAMS
Futures and Cash Positions: Linear Profits
Options Positions: Nonlinear Profits
Discussion
CHAPTER 16. HEDGING WITH OPTIONS
Option-Based Hedging Strategies
Delta-Neutral Hedging
Synthetic Futures and Options
CHAPTER 17. SPECULATING WITH OPTIONS
Intrinsic Value Strategies
Time Value Strategies
Volatility Strategies
Spread Strategies
CHAPTER 18. COMMODITY SWAPS
Swaps and Forwards
Swap Features and Applications
The Market for Commodity Swaps
Index
Pages: 280 pages
Publisher: Routledge; 1 edition (April 15, 2018)
Language: English
ISBN-10: 0765645378
ISBN-13: 978-0765645371
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