A Case Study Of Hedging Using Commodity Options

With the formation of the global organic economy,the prices of agricultural products,metals,energy and other commodities are facing more severe fluctuations than before.At present,Chinese enterprises have entered an era of comprehensive risk management.Only by resisting the impact of changes in the international economic situation,can they achieve sustainable and stable development in the increasingly competitive market.The application of financial derivatives,such as swaps,futures and options,is still in the exploratory stage in China's enterprises.There is still a gap between the level of their application and the international financial market.Based on the actual case,this thesis will conduct a multi-angle research and analysis,through the case company's actual use of options to hedge,find out the problems encountered by sugar-producing enterprises in the process of options hedging and propose solutions,providing reference for other entities in China to use commodity options for hedging.The full text is divided into four chapters:The first chapter is the introduction,which explains the research background,research significance,domestic and foreign references,the innovation and shortcomings of the thesis and the framework of the thesis.On the basis of extensive reading of the literature,it summarizes the development and research status of domestic commodity options,introduces the definition and classification of options,futures and the hedging principle of options.The second chapter introduces the background of the case,including the development history and status quo of commodity options at home and abroad,the development status of sugar industry chain and the case enterprise,namely,Guangxi Xianggui Sugar Industry Group.Chapter three is the in-depth analysis of the case.Firstly,the hedging ratio is calculated based on the hedging results of Xianggui Group,and then the minimum equation hedging ratio is estimated by empirical test,which provides an optimized hedging strategy through the comparison between the two.Then,the hedging effect of the futures strategy is tested by empirical test under the optimal hedging condition using futures and compared with the option hedging.From the standpoint of spot multi-head enterprises,this thesis analyses the application and characteristics of commodity option hedging from the aspects of capital occupation,profit and loss of various parts,and application situation.Chapter ? compares and analyses the uniqueness of option hedging and optimal futures hedging,summarizes the trading characteristics of hedging using commodity options,provides reference and inspiration for future hedging of other enterprises,and discusses the significance of developing commodity options in China.