Mining hedging ratio
Publish: 2021-04-22 12:24:37
1.
In order to estimate the optimal hedging ratio, we use the following linear regression model:
the OLS method is based on the historical data, using the existing time series data for analysis, so that the regression analysis results can better explain the relationship between the spot and futures prices
in the hedging operation, we take LLDPE as an example to analyze the best proportion of hedging, so that enterprises can achieve the purpose of avoiding risks through hedging
we select one month's data to estimate the hedging proportion in the first period of the hedging operation plan, and get:
we select three months' data to estimate the hedging proportion in the second period, and get:
we select five months' data to estimate the hedging proportion in the third period, and get:
therefore, we can get, The hedging ratios of the three hedging periods are:
in the specific operation process, according to the above conversion formula of hedging ratio and contract quantity, The contracts purchased are:
lldpe0907 contract 10000 * 0.0333 = 333 tons, about 66 contracts
lldpe0909 contract 8000 * 0.1236 = 989 tons, about 198 contracts
lldpe0911 contract 6000 * 0.1223 = 734 tons, about 147 contracts
for the five-month data, we give the comparison chart between the predicted spot yield and the actual spot yield through OLS hedging. We can see from the figure that although the spot yield fluctuates a lot, the OLS optimal hedging can smooth some price fluctuations and rece the risk of price fluctuations
according to the principle of the minimum variance (MV) model, suppose that we have a portfolio of LLDPE spot and futures contracts, and the positions of spot and futures in the portfolio are and respectively, then the return rate of the portfolio can be expressed as:
in the above formula, it is the hedging ratio, that is, the variance of the hedging position to the return rate of the portfolio, The analytic expression of the first-order conditional optimal hedging ratio is: This is also the definition expression of dynamic hedging position. Where,, and respectively represent the standard deviation of spot and futures returns, and the correlation coefficient between them
2. Stock index futures can be used to rece or eliminate systemic risk. The hedging of stock index futures can be divided into selling period hedging and buying period hedging. Hedging in selling period refers to the hedging of stock holders (such as investors, underwriters, fund managers, etc.) who sell in the futures market in order to avoid the decline of stock price; Buy period hedging refers to the hedging that indivials or institutions who are ready to hold stocks (such as companies that intend to acquire another enterprise through stock subscription, etc.) buy in the futures market in order to avoid the rise of stocks. The steps of hedging with stock index futures are as follows:
first, calculate the total market value of the stocks held
secondly, the number of contracts needed for hedging is calculated based on the futures price of the maturity month
thirdly, close positions and settle accounts at the same time on the maturity date to realize hedging
the methods of using stock index futures for speculative trading are as follows: the principle of following the trend of trading
the risk of trend trading comes from the position direction established by investors, which is opposite to the actual price development direction. This kind of loss can continue to expand, so there are several principles that must be adhered to in trend trading:
1) follow the trend trading, pay in the rising trend, sell in the falling trend, trade in the oscillating market or leave the market
2) stop loss should be strictly set. Generally, the limit of stop loss is 5% of capital floating loss or key technology position. Stop loss is the survival basis of speculative market
3) to control the opening position, generally 30% of the capital is taken as the basic opening amount. In this way, there are enough funds to buffer the reverse market and take measures
futures capital allocation
account opening
financial management
first, calculate the total market value of the stocks held
secondly, the number of contracts needed for hedging is calculated based on the futures price of the maturity month
thirdly, close positions and settle accounts at the same time on the maturity date to realize hedging
the methods of using stock index futures for speculative trading are as follows: the principle of following the trend of trading
the risk of trend trading comes from the position direction established by investors, which is opposite to the actual price development direction. This kind of loss can continue to expand, so there are several principles that must be adhered to in trend trading:
1) follow the trend trading, pay in the rising trend, sell in the falling trend, trade in the oscillating market or leave the market
2) stop loss should be strictly set. Generally, the limit of stop loss is 5% of capital floating loss or key technology position. Stop loss is the survival basis of speculative market
3) to control the opening position, generally 30% of the capital is taken as the basic opening amount. In this way, there are enough funds to buffer the reverse market and take measures
futures capital allocation
account opening
financial management
3. Futures prices vary from month to month. For example, the futures price of L 1109 (delivery in September of 2011) is 10700, and that of l1204 is 11920, which is more than 1000 different. Moreover, the margin ratio varies at different times. The minimum margin is 5% of the contract value. The trading margin of new positions shall be charged according to the trading margin at the settlement of the previous trading day. With the approach of delivery period of futures contract and the increase of position, the exchange will graally increase the proportion of trading margin, up to 30%. For delivery, it should be charged at 30%. eleven thousand × one hundred × 30% = 33W
I'm sorry to say that you don't seem to understand anything. I'm also a new member of the futures company. I don't understand it very well. I suggest you find a futures business department nearby and ask an expert. As long as you express your intention to open an account, you will be provided with hedging advice for free
in addition, experts will not answer your questions here.
I'm sorry to say that you don't seem to understand anything. I'm also a new member of the futures company. I don't understand it very well. I suggest you find a futures business department nearby and ask an expert. As long as you express your intention to open an account, you will be provided with hedging advice for free
in addition, experts will not answer your questions here.
4. Hedging is hedging. You should be speculative, not hedging. Hedging is to see when the futures price is e, it can help you lock in the profit and avoid the risk of price fluctuation at that time. If you choose hedging, you can't close the position at that time. You have to deliver the goods after the contract is e. If you are the seller, you should provide the buyer with the goods that meet the contract standard. If it's the buyer, give enough money to take delivery of the seller's goods. Otherwise, the penalty will be paid. Farmers or agricultural procts enterprises usually do this in order to lock the price at maturity under appropriate circumstances to avoid the risk of price fluctuation.
5. One of the basic economic functions of futures market is to provide price risk management mechanism. In order to avoid price risk, the most commonly used means is hedging. The basic purpose of futures trading is to transfer the risk of a commodity to speculators (futures dealers). When spot traders use the futures market to offset the reverse price movement in the spot market, this process is called hedging
hedging is also translated as "hedging transaction" or "Haiqin". Its basic approach is to buy or sell commodity futures contracts with the same number of transactions as those in the spot market but opposite trading positions, so as to offset or offset the actual price risks or benefits brought about by the price changes in the spot market by selling or buying the same futures contracts at a certain time in the future, Make the economic income of traders stable at a certain level
in the whole process of proction, processing, storage and sales, commodity prices are always fluctuating, and the trend is difficult to predict. Therefore, risks caused by price fluctuations may appear in every link of commodity proction and circulation. Therefore, hedging is an effective way to protect the economic interests of participants in any link of economic activities< The basic principles of hedging are as follows:
firstly, although the change range of futures price and spot price is not completely consistent in the process of futures trading, the change trend is basically consistent. That is, when the spot price of a specific commodity tends to rise, the futures price also tends to rise, and vice versa. This is because although futures market and spot market are two separate markets, for a specific commodity, the main influencing factors of futures price and spot price are the same. In this way, the rise and fall of spot market prices will also affect the rise and fall of futures market prices in the same direction. The hedger can achieve the function of hedging by doing the opposite transactions in the futures market and the spot market, so that the price can be stabilized at a target level
secondly, spot price and futures price not only have the same trend of change, but also will be roughly equal or combined when the contract expires. This is because the futures price is usually higher than the spot price. The futures price includes all the expenses for storing the commodity until the delivery date. When the contract is close to the delivery date, these expenses will graally decrease or even disappear completely. In this way, the determinants of the two prices are almost the same. This is the principle of market trend convergence between futures market and spot market
of course, the futures market is an independent market which is different from the spot market after all. It is also affected by some other factors. Therefore, the fluctuation time and range of the futures price may not be exactly the same as the spot price. In addition, there are prescribed trading units in the futures market, and the number of operations in the two markets is often not equal, This means that the hedger may get extra profit or loss when writing off the profit and loss, so that his trading behavior still has a certain risk. Therefore, hedging is not a once and for all thing.
hedging is also translated as "hedging transaction" or "Haiqin". Its basic approach is to buy or sell commodity futures contracts with the same number of transactions as those in the spot market but opposite trading positions, so as to offset or offset the actual price risks or benefits brought about by the price changes in the spot market by selling or buying the same futures contracts at a certain time in the future, Make the economic income of traders stable at a certain level
in the whole process of proction, processing, storage and sales, commodity prices are always fluctuating, and the trend is difficult to predict. Therefore, risks caused by price fluctuations may appear in every link of commodity proction and circulation. Therefore, hedging is an effective way to protect the economic interests of participants in any link of economic activities< The basic principles of hedging are as follows:
firstly, although the change range of futures price and spot price is not completely consistent in the process of futures trading, the change trend is basically consistent. That is, when the spot price of a specific commodity tends to rise, the futures price also tends to rise, and vice versa. This is because although futures market and spot market are two separate markets, for a specific commodity, the main influencing factors of futures price and spot price are the same. In this way, the rise and fall of spot market prices will also affect the rise and fall of futures market prices in the same direction. The hedger can achieve the function of hedging by doing the opposite transactions in the futures market and the spot market, so that the price can be stabilized at a target level
secondly, spot price and futures price not only have the same trend of change, but also will be roughly equal or combined when the contract expires. This is because the futures price is usually higher than the spot price. The futures price includes all the expenses for storing the commodity until the delivery date. When the contract is close to the delivery date, these expenses will graally decrease or even disappear completely. In this way, the determinants of the two prices are almost the same. This is the principle of market trend convergence between futures market and spot market
of course, the futures market is an independent market which is different from the spot market after all. It is also affected by some other factors. Therefore, the fluctuation time and range of the futures price may not be exactly the same as the spot price. In addition, there are prescribed trading units in the futures market, and the number of operations in the two markets is often not equal, This means that the hedger may get extra profit or loss when writing off the profit and loss, so that his trading behavior still has a certain risk. Therefore, hedging is not a once and for all thing.
6. If the hedging ratio is not the same, the amount of hedging depends on the different markets of each enterprise.
7. 1. The company signed a 10-year agreement. Their futures contracts were not closed when the agreement expired, but were forced to close in the middle of the contract. This hedging is a failure. You need to learn more about the definition of hedging
2. We can only add margin continuously. If the margin is insufficient, it will be forced to level off, which is the failure of hedging caused by capital risk. You are still not familiar with the definition of hedging. Read more books
suggestion: review the definition of hedging several times.
2. We can only add margin continuously. If the margin is insufficient, it will be forced to level off, which is the failure of hedging caused by capital risk. You are still not familiar with the definition of hedging. Read more books
suggestion: review the definition of hedging several times.
8. There is no difference in trading, but there are differences in position limit and margin ratio
when applying for hedging position, corporate customers or self-supporting members of the exchange need to provide the exchange with relevant written materials such as proction plan, purchase and sale contract, and give the hedging index limit (position limit) after being approved by the trading department
this limit is not subject to the limit of position limit and the change of margin ratio. For example, if the position limit of a certain proct to a corporate customer is 2000 hands in the non delivery month, the hedging index (position) is not included. In addition, if the exchange increases the margin ratio when the market changes sharply, the margin ratio of the hedging position will still be calculated according to the minimum margin ratio
in addition, the hedging position index can be opened in batches until the limit is reached, but the position must be closed at one time or delivered. If only part of the position is closed, the exchange will forcefully close the remaining hedging position
in addition, the hedging position indicator can only be used at one time. If you need hedging, you need to apply for another position indicator.
when applying for hedging position, corporate customers or self-supporting members of the exchange need to provide the exchange with relevant written materials such as proction plan, purchase and sale contract, and give the hedging index limit (position limit) after being approved by the trading department
this limit is not subject to the limit of position limit and the change of margin ratio. For example, if the position limit of a certain proct to a corporate customer is 2000 hands in the non delivery month, the hedging index (position) is not included. In addition, if the exchange increases the margin ratio when the market changes sharply, the margin ratio of the hedging position will still be calculated according to the minimum margin ratio
in addition, the hedging position index can be opened in batches until the limit is reached, but the position must be closed at one time or delivered. If only part of the position is closed, the exchange will forcefully close the remaining hedging position
in addition, the hedging position indicator can only be used at one time. If you need hedging, you need to apply for another position indicator.
9. In the legal sense, the "opposite party" of every trader is a futures exchange. In other words: for the buyer, the exchange is the seller; For the seller, the exchange is the buyer. So at the final delivery, there is no problem of your "counterpart" defaulting
after delivery, if a trader with a blank order (or multiple orders) is unable to perform the delivery proceres e to lack of deliverable goods (or insufficient funds), the exchange will impose a fine on him, which is generally 15-30% of the total value of the delivered goods, and this part of the fine will be collected by the exchange, The venture capital account included in the exchange will not be paid to the matched traders
in addition, if the seller defaults, the exchange will purchase the goods that meet the delivery standard according to the market price and pay the buyer, and the price difference and related expenses shall be borne by the defaulting seller
if the buyer defaults, the exchange will auction the seller's goods at the market price and pay the seller the payment. If the total value is less than the total value of delivery, the price difference and related expenses shall be borne by the defaulting buyer.
after delivery, if a trader with a blank order (or multiple orders) is unable to perform the delivery proceres e to lack of deliverable goods (or insufficient funds), the exchange will impose a fine on him, which is generally 15-30% of the total value of the delivered goods, and this part of the fine will be collected by the exchange, The venture capital account included in the exchange will not be paid to the matched traders
in addition, if the seller defaults, the exchange will purchase the goods that meet the delivery standard according to the market price and pay the buyer, and the price difference and related expenses shall be borne by the defaulting seller
if the buyer defaults, the exchange will auction the seller's goods at the market price and pay the seller the payment. If the total value is less than the total value of delivery, the price difference and related expenses shall be borne by the defaulting buyer.
10. Why can stock index futures hedge? Stock index futures can be hedged is a basic trend of trading futures operation mode, is to ensure the interests of buyers
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