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Lead: How Fun agricultural-based spread betting?
Wen | to Cheng Gang, general manager of Huatai Great Wall International Trade sources | meals face, ID: oil-meal editor | Poker investor, please indicate the source < / b>
Disclaimer: This article is to become Thailand Great Wall international Trade Co., Ltd., general manager just spoke at the tenth China industry Conference corn
leaders, distinguished colleagues afternoon Hello everyone, thank you very much for this opportunity to exchange once again, be able to report with you our understanding of this issue.
I should be starting from the third to participate in the General Assembly corn, then new to the industry, and now the tenth, each year a summary of the work has increased from futures, spot, and now there is a difference between the groups mentioned process
, because of the time, mainly to report that we have our thoughts on this issue, or a poor understanding of the base concepts.
is divided into three parts, a first part describes the difference between transaction groups, then the transaction is the basic model, there are two further examples.
defines the base spread betting, each person may base the definition of poor is not the same, some cash minus futures, stock futures by some, with the most simple words to understand, what difference is a base?
Feeling and we usually say golf, said a person playing good or bad, how much is the baseline rod, or a horse, how old this year.
Although the expression is not the same, but the meaning is the same.
Basis is the only way to express a change, although did not say Basis for traders, but has been in use Basis, is a form of expression.
Basic definition is that the intermediate may react with the spot spread between two things, is a space, one time, because the delivery point and to the spot marked physical distance, there is space time, delivery
and time is not the same spot, this is it fundamental factors, among which there may be other factors, market sentiment this deviation factor.
The concept and definition of Basis explanation is the basic factor.
dealer pricing based trade group difference, obtained by a change in the basis benefits.
With you about the use of the base there is a price difference to what advantage there may be some what good.
So far, we have access to, including himself, in the company of the time, as do the bulk of your price, basis in the past few years to do more oil products, chemical products, too.
The concept came into contact with the base should be the difference from the United States, including the purchase of corn, soybeans, wheat, these things are Basis ask price, this is a pattern.
may put this concept to explain, is a time and a definition of space, time may be storage, interest, insurance, shipping cost is the physical distance, the basis is speaking here of a fixed base
poor, that is to say its storage, interest, insurance prices remain unchanged, interest rates unchanged is relatively fixed, transport costs in the case of logistics costs are relatively unchanged Basis.
The Basis is a basic concept, we usually face with the concept of basis of inventory, profits, there will be various aspects of logistics, the impact may be greater in this area for some of our usual transaction will be decisive.
Basis of factors, there are three basic factors are quality, region, time, quality is what concept?
Futures delivery is to have a unified standard, including OTC options are now slowly being accepted by many people, it is not a fixed standard, this standard is set according to their own personality.
Once you have the base because of the difference, different corn second, third base difference is not the same, usually trading Basis, Basis take a standard to measure the level of basis, basis is tight, inventory is low, this
It is a relative difference in the average group concept.
This means quality, different quality Basis is not the same, corn in several other facing the same futures prices, its basis is likely to be different.
The second area is just also spoke, each region there is a price difference, the difference between the conversion to the base inside the baseline or delivered in Dalian Bayuquan, different parts of the poor is not the same group, this is a concept of physics.
There is also a concept, not as in demand in different regions, different parts of the inventory is not as likely to have a premium-based difference.
That is the basis of the difference between the base price of the base, there will be a premium, the difference in short supply base will be larger, and demand for large Basis will be smaller, the time from the current spot and futures middle
time, this time may have just talked about, is one of several cost, your storage, interest, cost of oil, including insurance, these are relatively fixed, this is the time cost.
Here also includes what is it?
Our concept is somewhat similar to the interest rate, you offside long time, the greater the uncertainty.
This premium will also give out the basic time and place determine a basic pricing uncertainty in this area will increase the premium price.
poor risk group.
Basis risk Basis I do not understand there is no risk, many people understand the so-called hedging, basis can be understood as a standard, we have to do hedging positions have to do, this is understood to be a standard
, there is also speculation do, you can do things, can also be made a long-term holder, you can do a short-term holders, and this basis is the concept of a standard, it may not have any particularly large differences
I personally understand the market we try to do, I personally think that may have been a vast majority of companies are now doing Basis trading is a speculative identity doing.
In other words, you gamble on trends in the basis, that is, to the idea of doing speculative.
If the business background is better, the volume of trade is relatively large, in fact, I personally think that if the basis is the identity of investors to engage in radical difference in this way may be better than speculation ingredients.
Now that there are risks, see the risk from what areas?
Mainly from the end of the spot and futures end a different volatility, caused by short-term risk.
This is the most we usually face, there is a risk that there is no risk of a return to return before the delivery, from the arbitrage point of view, the basis should be the last to return to zero, the basis of the basic cost, physical, transport
distance, time, purely from the point of delivery, the physical transport distance is equal to zero, time decay to zero, then there is no uncertainty, and should not be a normal basis is zero, you know, also because of a certain industry, a certain variety of special
situation, so for a long time to keep a positive or negative Basis Basis, in black also have this phenomenon, which is near the settlement month, not before the delivery month.
I think this is not the same as two volatility is a risk where it is located.
The second is when we usually go to Basis discuss, discuss basis risk, we may be more concerned about the long-term futures end, we have a hypothesis, assuming the spot is unchanged, or
spot the change is relatively slow, more risks from fluctuations in futures, futures fluctuate with mood, macro all aspects of the relationship.
That is, we do Basis hedging, hedging and the hedging, hedging between the spot and futures hedging, risk may come from the futures side.
In fact Basis enough of the negative state, a commodity can achieve negative state, I is not do not need to face the risk.
The final delivery time is not at risk, before delivery to face the risk of fluctuations in futures.
This is a change in the basis, and the effect of hedging.
There is the equivalent of buying hedge I understand, this is the fellow to do, it should be based on the difference between selling and not buying hedging.
When do such hedging, hedging and the effect of changes in the basis there is a change.
You do hedging equal basis is speculation, not to say do this without risk, is the risk of speculation, but speculation is based fluctuations in the difference, not a single species, if combined, make buying hedge, quite
to sell Basis, will affect the results.
Basis does not change, that is, the formation of a complete hedging of hedging, if the difference is a stronger base, you sell Basis, the results play a little discount, not to say that can not hedging
hedge against inflation.
Basis weakness, you do hedging, hedging this time not only effect will be better, will be a slight profit, sold into hedging equal to the difference between buying group, this is exactly the opposite with the above, for hedging
the effect of hedging have different effects.
is substantially smaller hedging basis risk instead of large price fluctuations.
Unwilling to face price volatility, they do hedging, will face the risk hedging, the face of risk, there will be a different way of processing, including our now do basic futures trading, may also be to
to avoid fluctuations in a single contract, like to do across arbitrage, or arbitrage across goods, they are in risk reduction.
Depending on the type of transaction and divide it Basis of actual transactions, a way for buyers transactions, a way for the seller transaction, to determine the time when the price is determined by the buyer, the buyer to do the transaction.
The price is determined by the seller, the seller to do the transaction.
This is combined with hedging.
I would like to emphasize that, including our own, only a strong background stock when you can make a real difference-based trade, sent us a lot of speculative trading in Basis, Basis grasp of industry, to business groups, like Zhang morning
always talking about it, to do this may be similar to the difference between identity groups, large amount of cash every day, the sale of Basis Basis can buy, sell Basis, which I think is not in the development of Basis
process, I think to a large enterprise is an ultimate direction.
Basis development in the world, have just talked about, is very long, including the concept of our own first contact with the base of the poor, and perhaps because it imported soybeans, poor contact with the base of this concept.
Soybean price points, price, purchase premiums and discounts on the spot price of CBOT, there will be several ways.
In our foreign, not to say.
It’s probably worse than a fluctuating base is the CBOT and the Chicago soybeans, wheat, corn, corn is the US red line is the spot, the blue line is that it’s futures, and we can see.
This is the index table soybeans.
in the country should be doing in the soybean meal is very common.
Solve several problems, the first is a price premium when it is sold to refineries on the long-term is not very good for the traders and downstream businesses, their own pricing initiative is not with Quotes
change at any time and change, regardless of upstream oil plant, a feed mill or on the downstream, the initiative will be even greater, specifically did not say, because of time.
In the country we are in contact with oil, soybean basis levels, chemical development is also very good.
This contract is a fundamental difference between the base price of soybean meal.
Here to talk about this pattern of spread betting group, this may be the soy, for example, imported about ninety million tons of soybean, soybean prices by almost all of this model, mainly from soybean
United States, Brazil, Argentina, the three places will be based on its port, its basis is not landlocked, ports to China certainly has in the basis, the difference between these two groups are not the same.
In Brazil there is a landlocked approach is very scattered, dozens of tons, hundreds of tons, after you go to buy, buy insurance, there will be such a change, probably a transaction process is like this, I will ask liter
premium, then buyer to the seller premiums and discounts, to determine the FOB, finalized fares, contract and deposit, then premiums and discounts and price, I want to buy soybeans in September, could be priced by futures contracts in Chicago in July, this
pricing may be divided into two, one is pricing can be extended, it can also be non-deferred pricing.
Deferred pricing is what concept?
We are in contact, most can be postponed to 30 days extension, from Brazil to China after the United States pulled deferred pricing sold out 30 days after soybeans.
There are non-deferred pricing, and finally there is the price of fares and soybean futures prices given your FOB prices, finally together, this is the price.
As an example, the problem is expressed in the beginning with you, nothing Basis, Basis is a tool, with no changes, no increase in cost, no cost, just let your price
among risk pricing fluctuations smaller.
For example, premiums and discounts to sell a farmer, I am referring to soy or corn, a farmer premiums and discounts to sell, sell -30, basis is -30, -30 middlemen would buy Basis of brokers to make money, count
good to earn 40 dollars profit, the price became 10 premiums and discounts, the buyer needs to spend 10 dollars to buy premiums and discounts, premiums and discounts that are operating.
The second is the operating futures, everyone futures were up in price, traders may inform middle price, seller 120, 140 buyers, spot sales price for the seller, its price is 120 price point, premiums and discounts -30
, the spot price is equivalent to 90 dollars, spent only 10 dollars of premiums and discounts, the spot price is 140 + 10 = 150 dollars, cash profit and loss is -20, is 150-90 = 60, the profits are 60-20 =
40, 40 which is the difference between premiums and discounts of the above, but in this process, so that all parties have a certain autonomy, to have sufficient time pricing.
Pricing is a non-renewal, one is to be postponed orders directly to the seller, an increase in the futures directly, this time directly on price, that is, the price of the futures price plus premiums and discounts,
this is not postponed.
There are an extension of the way, can be divided into two types, I do not know if the exchange, there is a switch to a single case.
The first batch is to be postponed sellers, I made a boat soybean soybean hand 440 in Chicago, the price of every ten days to buy 50 lots, enough to buy 440 hand, by futures companies to switch between each other, the number of shares transferred
give me the seller, the seller then sold when in fact the base of the poor, or sold to premiums and discounts, have cast inch can be saved, so you can direct hedge, there is a delay first intercourse is now pricing soon,
this time you can put more than a single one-time transferred to the seller, this free time alone inside.
In the absence of futures positions, can be transferred to foreign investors more than a single, I would naturally account number of an equal number of empty single the opposite, in fact, the effect is the same.
There is a relatively perfect state, including financial market volatility factors enhanced when it is more volatile, this time both sides hope to benefit from volatility which, through the futures price, each of which has a price
their price, this is my own understanding.
There is a saying, trading premiums and discounts, can not do business, in fact, we face two major risks, a risk is the risk of price fluctuations, the second is the credit risk, as long as you do trade, is not averse
, credit risk from counterparty risk, if the counterparty is not no way transaction, and the other risk is the risk of price fluctuations, the difference between the way through the base, can be circumvented the risk of price fluctuations, I’m not going to withstand price fluctuations
only credit risk, the risk of price volatility becomes a risk premiums and discounts, premiums and discounts and the risk and price volatility risk is not the same place, premiums and discounts relatively small fluctuations.
This presentation may not understand it all, two things subtract value than a separate study of a futures or spot easier.
Because these two things have some common factors, after subtraction of the same factors without analysis, as long as there is a difference factor analysis, in fact you factor in the analysis of the relative reduction.
Not much to say this place is probably based differential pricing of several operational processes, the first step, the second step, third step, quote, signed a purchase contract, the two sides margin, is a price point
This is an example, I would simply say something, give a simple example, when to buy Basis, when to sell Basis, Basis trading time and price of the time there will be differences, see more stock, you buy the base
difference on price point in time, if it is the futures premium status, positive Basis, Basis of when to buy, do, because this is bullish.
Or subsequent cash basis levels are promising, give a simple example, a commodity at a very low inventory status, profit is not very high, it represents the future supply will not be very strong, inventories are relatively low
state, the basis is strongly inclined, this time to buy is delayed Dizhang Basis of.
The more delay the more favorable, after buying Basis After doing hedge doing Basis of speculation, because it is a strong base to see the difference.
If you hold up the point of view of the market outlook, if done right circumstances, your price point in time, it could earn more if the price is not the point in time, there will be many such cases last year, anti-seasonal you will get hurt,
than in the case you do not do a start there will be losses.
group difference in size.
Mention this with you, the basis of the size of the substrate including the active poor, are willing to use statistical arbitrage way to look at the spatial variation in the basis, the basis has a range of statistics, the premise is to have the same spot background, stock industrial pattern
, physical distribution of stock, thus ensuring that there is a statistical difference between the base of the range, or figured out a different context, meaning not particularly large.
Basis of risk pricing, a counterparty risk, do a little bit basis is similar to the OTC market, because in the futures this end is guaranteed, there is no guarantee at this end of the spot, not
that there is no guarantee, it is easy to go wrong.
Because of that example is very simple, we all know that this year, better corn in May, when the base difference is more than 200 dollars, buy a put on the spot futures you are doing, like Zhang’s case, the goods in their own library
Lane, basis from Zhang buy, not when the final delivery of the goods, pay attention to counterparty risk, this is the first one.
The second is leveraged, do Basis lever is in place, not to pay the full purchase price, only 10% of the deposit, to face the volatility of the lever, this is a risk-based pricing difference among the major face.
Application examples probably two, corn and I do not say, just say.
This was our May contract, soybean meal is the recent emergence of this year, soybean meal reached a negative basis is, by contrast spot, this time may be speculative basis is, to buy stock futures sets, to speculation the group is poor, people might be doing
I give this example, the base or the difference I think is a subject to different transactions, you can do it in the basis of speculation, can make the difference between the base band, you can also do a market maker in the basis, with no subject
much of a difference, because of the time share on here, thank you!