農(nóng)產(chǎn)品期權(quán)與應(yīng)用

ICE集團(tuán)ICE集團(tuán)上市農(nóng)DurumWheatDurumWheatSugarNo.11SugarNo.11FuturesSugarNo.11SugarNo.16USCornUSCornFuturesUSCornUSSoybeanUSSoybeanFuturesUSSoybeanMealUSSoybeanMealFuturesUSSoybeanMealUSDurumWheatDurumWheatSugarNo.11SugarNo.11FuturesSugarNo.11SugarNo.16USCornUSCornFuturesUSCornUSSoybeanUSSoybeanFuturesUSSoybeanMealUSSoybeanMealFuturesUSSoybeanMealUSSoybeanOilUSSoybeanOilFuturesUSSoybeanOilUSSoybeanUSWheatUSWheatFuturesUSWheatWeeklyCoffee"C"WeeklyCottonNo.2WeeklySugarNo.11 、農(nóng)產(chǎn)品期權(quán)投資 、農(nóng)產(chǎn)品期權(quán)投資機會與未來發(fā)四、農(nóng)產(chǎn)品期權(quán) 、農(nóng)產(chǎn)品期權(quán)與期貨的結(jié)合利 、農(nóng)產(chǎn)品期權(quán)套期保值應(yīng) 、國際農(nóng)產(chǎn)品期權(quán)市場情一、國際農(nóng)產(chǎn)品期權(quán)一、國際農(nóng)產(chǎn)品期權(quán)市場概§(一)美國期權(quán)歷史上的三次禁令和四次試§至少是在內(nèi)戰(zhàn)時期開始，一直到0世紀(jì)70而生。(1982—(1874—1982((一)美國期權(quán)歷史上的三次禁令和四次試1、商品期貨交易委員會對期權(quán)的監(jiān)管在1936年之前，期權(quán)市場幾乎是沒有監(jiān)管和規(guī)范可言的，期權(quán)的買賣雙方都得不到很好的保護(hù)。因此，商品期貨交易委員會采取的措施是，積極建立一套期權(quán)運作規(guī)則，重點是保護(hù)期權(quán)買賣雙方的利益，限制新上市期權(quán)合約，加強對期權(quán)市場的監(jiān)管。經(jīng)過至少兩年的穩(wěn)定運行，期權(quán)市場逐漸面臨的問題：這些期權(quán)交易是作為期貨的補充，促進(jìn)期貨交易2、2、禁止：1978年，除了“貿(mào)易期權(quán)”外，商品原因：沒有期權(quán)原因：1、期權(quán)交易用及詐騙行為?2、“倫敦期權(quán)“黑名單“（老商品/國內(nèi)商品品品種有：優(yōu)肪和油脂、棉產(chǎn)品和冷凍濃縮雖然商品期權(quán)歷史上曾發(fā)生不少問題，但社會上對運用期權(quán)可帶來的商業(yè)利益仍存有一定興趣。雖然商品期權(quán)歷史上曾發(fā)生不少問題，但社會上對運用期權(quán)可帶來的商業(yè)利益仍存有一定興趣。213場內(nèi)4商品期貨交易委員會成立后不久，即對禁令以外商品的柜臺交易期權(quán)解除大部分監(jiān)管限制。但商品期貨交易委員會仍保留權(quán)力，當(dāng)發(fā)現(xiàn)期權(quán)交易涉及詐3、易試3、易試允許每個期第一次試點（1）場內(nèi)期權(quán)交易的：進(jìn)（1）場內(nèi)期權(quán)交易的：進(jìn)行“非列舉商品”期權(quán)交易試進(jìn)行“列舉商品”期權(quán)交易試目：目：1984年3月，商品期品”以外的期貨（2）政府補貼期權(quán)試點的嘗根據(jù)美國1990（2）政府補貼期權(quán)試點的嘗根據(jù)美國1990年農(nóng)業(yè)法案，1992年0月，美國農(nóng)業(yè)部從1993年生產(chǎn)年度開始，鼓勵伊利諾斯州、衣阿華州、印第安納州的部分農(nóng)場主購買芝加哥交易所的玉米、小麥和大豆合約的看跌期權(quán)，掌握使用期貨期權(quán)的方法，管理經(jīng)營風(fēng)險，保護(hù)上述商品的價格和農(nóng)場主收入。參加這項試驗的農(nóng)民，可自愿選擇以最低保護(hù)價水平或目標(biāo)價格水平出售谷物的權(quán)利，以保護(hù)農(nóng)民不因市場谷物價格下降而受到損害。要確定期權(quán)合約是否有助于農(nóng)場主降低價格風(fēng)最低保護(hù)目標(biāo)保護(hù)財政鼓勵引導(dǎo)、了（3）場外“農(nóng)產(chǎn)品貿(mào)易期權(quán)”①對農(nóng)產(chǎn)品期權(quán)的禁令一直持續(xù)到1982該授權(quán)（3）場外“農(nóng)產(chǎn)品貿(mào)易期權(quán)”①對農(nóng)產(chǎn)品期權(quán)的禁令一直持續(xù)到1982該授權(quán)允許商品期貨交易委員會批準(zhǔn)在交易所上市農(nóng)產(chǎn)品期權(quán)交易。即在那時，商品期貨交易委員會還是禁止交易場外的農(nóng)產(chǎn)品貿(mào)易期權(quán)的，即使條例規(guī)定商業(yè)企業(yè)客戶可以在不違背反欺詐法規(guī)規(guī)定的情況下，可以上實際運作商品期貨交易委員會最終消除了禁令，允許農(nóng)產(chǎn)品貿(mào)易期權(quán)交公布了農(nóng)產(chǎn)品貿(mào)易期權(quán)的法規(guī)，包括登記制度、度、交易記錄制度、報告制度和其他規(guī)定。盡管這些規(guī)定出臺了，但是際上，并沒有人參與農(nóng)產(chǎn)品交易期權(quán)項目商品期貨交易委員會發(fā)起了三年期期權(quán)開發(fā)項目。但是，際上，登記的期權(quán)經(jīng)紀(jì)商寥寥無幾。其中一個原因可能是監(jiān)管太嚴(yán)，資和監(jiān)管規(guī)定不適合參與農(nóng)產(chǎn)品貿(mào)易期權(quán)的規(guī)定進(jìn)一步修訂，允許現(xiàn)金結(jié)登記注冊制度和公開規(guī)定。在修訂的規(guī)則下，只有一家公司登記注冊成農(nóng)產(chǎn)品貿(mào)易期權(quán)的經(jīng)紀(jì)商4、創(chuàng)新4、創(chuàng)新期權(quán)——期貨價差期紐約交易所開發(fā)了新期權(quán)，主要是為其“軟商品”提供服務(wù)。這種新工具叫作這種很特殊的期權(quán)應(yīng)用于交易所的11號（糖）紐約交易所開發(fā)“期貨價差期權(quán)”的目的是適應(yīng)交易所期權(quán)的迅猛發(fā)展以，期權(quán)的應(yīng)用就越有吸引力白糖期貨期權(quán)是紐約交易所最為活躍的商品期權(quán)合約，2004年是個大牛市年，在12月1日，其空盤量創(chuàng)新高，達(dá)419萬張合約?？毡P量達(dá)到這一水準(zhǔn)，表明了該合約具有套期保值功能，也說明這一期權(quán)對于投資者在波動大的市場上利用期權(quán)減少風(fēng)險的重要性1、1、No.11白糖期貨與期權(quán)合約比較及期權(quán)交易2、ICENo.2棉花期貨與期權(quán)合約比較及期權(quán)交易3、CBOT玉米期貨與期權(quán)合約比較及期權(quán)交易4、CBOT大豆期貨與期權(quán)合約比較及期權(quán)交易5、國際期貨期權(quán)產(chǎn)品交易量1、No.11白糖期貨與1、No.11白糖期貨與期權(quán)合約期貨 期權(quán)ContractSizePriceQuotationDailyPriceDeliveryLastNoticeLastTrading112,000CentsandhundredthsofacentperpoundtotwodecimalplacesMarch,May,JulyandOctober1/100cent/lb.,equivalentto$11.20perPhysicaldelivery,FOBreceiver'sRawcentrifugalcanesugarbasedon96degreesaveragepolarization.GrowthsofArgentina,Australia,Barbados,Belize,Brazil,Colombia,CostaRica,DominicanRepublic,ElSalvador,Ecuador,FijiIslands,FrenchAntilles,Guatemala,Honduras,India,Jamaica,Malawi,Mauritius,Mexico,Mozambique,Nicaragua,Peru,RepublicofthePhilippines,SouthAfrica,Swaziland,Taiwan,Thailand,Trinidad,UnitedStates,andZimbabwe.Aportinthecountryoforiginorinthecaseoflandlockedcountries,ataberthoranchorageinthecustomaryportofexport.Firstbusinessdayafterlasttradingday.FirstbusinessdayafterlasttradingLastbusinessdayofthemonthprecedingthedeliveryPositionLimitandPositionAccountabilityinformationforallIFUSproductscanbefoundatContractPriceExpirationStrikePriceDailyPriceContractFirstTradingDay(Regular(SerialOptions)LastTrading112,000pounds[50longCentsandhundredthsofacenttotwodecimalplaces1/100ofacentperpound($11.20/contract)17:00Easterntimeonthelasttradingday.Automaticexerciseatonetickormorein-the-moneyatexpirationonlasttradingday.StrikePriceIncrementwillbe$.25centsatallpriceRegularOptions:January,March,May,JulyandOctober.SerialOptions:February,April,June,August,September,NovemberandDecember.FortheJanuaryregularoption,theMarchcontractistheunderlyingfuture.Forserialoptions,theunderlyingfutureisthenextRegularfuturescontractmonth.Businessdayfollowingthedayonwhichtheunderlyingfutureislistedfortrading.Firstbusinessdayofthethirdcalendarmonthprecedingtheserialoptionmonth.17:00Easterntimeonthelasttradingday.Automaticexerciseatonetickormorein-the-moneyatexpirationonlasttradingday.LastTradingDayisthe15thcalendardayofthemonththatprecedestheoptionstradingmonth,orthefirstbusinessdayafterthe15thshouldthisdaybeaweekendoranExchangeholiday.PositionLimitandPositionAccountabilityinformationforallIFUSproductscanbefoundat規(guī)交易月規(guī)交易月行交易正式期權(quán)月也可以對在一月份期滿的三月份期貨期權(quán)進(jìn)行交易，五月份期貨期權(quán)于三月份期滿，七月份期權(quán)期貨于五月份期滿，十月份期貨期權(quán)于八月，以上稱為“系列期權(quán)月11份的第15份的第15設(shè)置：(i)執(zhí)行價格間隔為四分之一美分($.0025)。設(shè)置：(i)執(zhí)行價格間隔為四分之一美分($.0025)。(d)如果一個掛牌交易的期權(quán)連續(xù)10個交易日沒有成交量，并且沒有持倉，那么該期權(quán)將被退(1b)條(ib)規(guī)則期權(quán)到期和執(zhí)買規(guī)則期權(quán)到期和執(zhí)買方必須在最后交易日的下午3:00之前收到其客戶的行權(quán)意向通知買方若想在最后交易日通過自己的賬戶行權(quán)，則必須在下午3:00糖期權(quán)的買方在下午5:00之前向清算機構(gòu)提供符合清算機構(gòu)要求行權(quán)通知后，可以在任何一個工作日執(zhí)行該期權(quán)。在清算機構(gòu)收到履通知當(dāng)天的下一個工作日11號糖期貨交易開盤時，該通知生效。在提交如果發(fā)出行權(quán)通知，該買方應(yīng)按清算機構(gòu)的要求，向清算機構(gòu)存該標(biāo)的期貨合約的初始保在每一份糖期權(quán)執(zhí)行時，應(yīng)發(fā)送一份通知給期權(quán)賣方規(guī)則11.30規(guī)則11.302、ICENo.2棉花期貨與期權(quán)2、ICENo.2棉花期貨與期權(quán)期貨 期權(quán)ContractSizeContractDailyPriceDeliveryFirstNoticeDayLastNoticeDayLastTrading50,000poundsnetCentsandhundredthsofacentperpoundMarch,May,July,October,December1/100ofacent(one"point")perpoundequivalentto$5.00perPhysicalQuality:StrictLowMiddlingStapleLength:12/32ndFuturescontractsaresubjecttoadailypricelimitthatcanrangefrom3to7centsperpound.PleaseconsultRule10.09fordetailsGalveston,TX;Houston,TX;NewOrleans,LA;.Memphis,(EffectivewiththeDec2013expiry,NewOrleansisnolongeradeliverypointandDallas/Ft.Worth,TXbecomesadeliverypoint.)USOriginFivebusinessdaysbeforethefirstdeliverydayofthespotcontractmonth,whichisthefirstbusinessdayofthatmonth.TwelvebusinessdaysfromendofspotSeventeenbusinessdaysfromendofspotPositionLimitandPositionAccountabilityinformationforallIFUSproductscanbefoundatContractPriceExpirationStrikePriceDailyPriceContractFirstTradingLastTrading50,000poundsnetCentsandhundredthsofacentper1/100ofacent(one'point')per17:00Easterntimeonthelasttradingday.Automaticexerciseatonetickormorein-the-moneyatexpirationonlasttradingday.1-centincrementsforallcontractNone.CottonOptionstradingmaybehaltedundercertainmarketconditions.SeeRule10.53fordetails.RegularOptions:March,May,July,OctoberandDecember;SerialOptions:January,SeptemberandNovember.TheunderlyingfuturefortheSeptemberandNovemberserialoptionsistheDecemberfuturescontract;theunderlyingfuturefortheJanuaryserialoptionistheMarchfuturescontract.BusinessdayfollowingthelistingoftheunderlyingForRegularOptions:LastFridayprecedingthefirstnoticedayfortheunderlyingfuturesbyatleast5businessdaysForSerialOptions:ThirdFridayofthemonthinwhichtheoptionexpiresContractSpecificationsContactPositionLimitandPositionAccountabilityinformationforallIFUSproductscanbefoundat規(guī)則規(guī)則1.51交易月2號棉花期權(quán)交易應(yīng)在下列合約月份進(jìn)行基于三月份期貨期權(quán)，將于上一年十二月份期滿：基于三月份期貨期權(quán)，將于當(dāng)年二月份之前期滿：新的期權(quán)合約月份應(yīng)該掛牌交易，交易時間為標(biāo)的期貨一個交易日后的工作日規(guī)則規(guī)則1.54最后交易(a（將10.58.棉花期權(quán)到期2號棉花期權(quán)將在最后交易日的下午5：0010.58.棉花期權(quán)到期2號棉花期權(quán)將在最后交易日的下午5：00規(guī)則1規(guī)則1.9.執(zhí)行價依照此規(guī)則，從.51以上的價格將是下一個最高的美分（.01￠）間隔，而.50以下稱為“要求的執(zhí)行價格”。10.60.行權(quán)通知10.60.行權(quán)通知會員（這些清算會員按比例持有這些期權(quán)的做空頭寸）3、CBOT玉米期貨3、CBOT玉米期貨與期權(quán)合約比期貨 期權(quán)ContractPricingDailyPriceLastDeliveryLastTradeExchange5,000bushels(~127MetricTons)CentsperbushelMarch(H),May(K),July(N),September(U)&December1/4ofonecentperbushel($12.50perDailyGrainsSettlementProcedure#2YellowatcontractPrice,#1Yellowata1.5cent/bushelpremium#3Yellowata1.5cent/busheldiscount$0.40perbushelexpandableto$0.60whenthemarketclosesatlimitbidorlimitoffer.Thereshallbenopricelimitsonthecurrentmonthcontractonorafterthesecondbusinessdayprecedingthefirstdayofthedeliverymonth.SecondbusinessdayfollowingthelasttradingdayofthedeliveryThebusinessdaypriortothe15thcalendardayofthecontractThesecontractsarelistedwith,andsubjectto,therulesandregulationsofCBOT.ContractStrikePriceDailyPriceLastTradeOneCornfuturescontract(ofaspecifiedmonth)of5,000March(H),May(K),July(N),September(U)&December(Z);amonthly(serial)optioncontractislistedwhenthefrontmonthisnotastandardoptioncontract.Themonthlyoptioncontractexercisesintothenearbyfuturescontact.Forexample,anAugustoptionexerciseintoaSeptemberfuturesposition.1/8ofonecentperbushel($6.25perTradingshallbeconductedforputandcalloptionswithstrikingpricesinintegralmultiplesoffive(5)centsandten(10)centsperbushel.MoredetailsonstrikepriceintervalsareoutlinedinRule10A01.E.$0.40perbushelexpandableto$0.60whenthemarketclosesatlimitbidorlimitoffer.Thereshallbenopricelimitsonthelasttradingday.ThebuyerofafuturesoptionmayexercisetheoptiononanybusinessdaypriortoexpirationbygivingnoticetotheClearingHouseby6:00p.m.Chicagotime.Optionexerciseresultsinanunderlyingfuturesmarketposition.Optionsin-the-moneyonthelastdayoftradingareautomaticallyexercised.ThelastdayoftradinginanystandardorserialoptionforexpiryinagivenmonthshallbethelastFridaywhichprecedesbyatleasttwobusinessdaysthelastbusinessdayofthecalendarmonthprecedingsuchoption’snamedexpirymonth.IfsuchFridayisnotabusinessday,thenthelastdayoftradinginsuchoptionshallbethebusinessdaypriortosuchFriday.UnexercisedCornfuturesoptionsshallexpireat7:00p.m.onthelastdayoftrading.10A01.A.10A01.A.ContractTradingmaybeconductedinthenearbyCornfuturesoptionscontractmonthandanysucceedingmonths,providedhowever,thattheExchangemaydeterminenottolistacontractmonth.ForoptionsthataretradedincontractmonthsinwhichCornfuturesarenottraded,theunderlyingfuturescontractisthenextfuturescontractthatisnearesttotheexpirationoftheoption.Forexample,theunderlyingfuturescontractfortheFebruaryoptioncontractistheMarchfuturescontract.Forshortdatedoptionsonnewcropfutures,theunderlyingfuturescontractistheDecemberfuturescontractthatisnearesttotheexpirationoftheoption.10A01.E.10A01.E.ExerciseTradingshallbeconductedforputandcalloptionswithstrikingpricesinintegralmultiplesoffive(5)centsandten(10)centsperbushelperCornfuturescontractasfollows:Atthecommencementoftradingforeachoptioncontract,theExchangeshalllistastrikeclosesttothepreviousday’ssettlementpriceoftheunderlyingCornfuturescontract(theat-the-moneystrike),andstrikesinintegralmultiplesoftencentsinarangeof50percentaboveandbelowtheat-the-moneystrike.Ifthepreviousday’ssettlementpriceismidwaybetweentwostrikes,theat-the-moneystrikeshallbethelargerofthetwo.Overtime,newtencentstrikeswillbeaddedtoensurethatallstrikeswithin50percentofthepreviousday’ssettlementpriceintheunderlyingfuturescontractarelisted.Atthecommencementoftradingforweeklyoptions,andforoptionsthataretradedinmonthsinwhichCornfuturesarenottraded,forshortdatedoptionsonnewcropfutures,andforstandardoptionmonthsthebusinessdaytheybecomethethirdlistedmonth,theExchangeshalllistastrikeclosesttothepreviousday’ssettlementpriceoftheunderlyingCornfuturescontract(theat-the-moneystrike),andstrikesinintegralmultiplesoffivecentsinarangeof25percentaboveandbelowtheat-the-moneystrike.Ifthepreviousday’ssettlementpriceismidwaybetweentwostrikes,theat-the-moneystrikeshallbethelargerofthetwo.Forexample,five-centstrikepriceintervalsfortheSeptembercontractwouldbeaddedonthefirstbusinessdayaftertheexpirationoftheJuneoptionscontract.Overtime,newfive-centstrikepriceswillbeaddedtoensurethatallstrikeswithin25percentofthepreviousday’ssettlementpriceintheunderlyingfuturesarelisted.3.Allstrikeswillbelistedpriortotheopeningoftradingonthefollowingbusinessday.UpondemandandatthediscretionoftheExchange,newout-of-current-rangestrikepricesatregularlydefinedintervalsmaybeaddedfortradingonassoonaspossiblebasis.TheExchangemaymodifytheproceduresfortheintroductionofstrikesasitdeemsappropriateinordertorespondtomarketconditions.Asnew5and10centstrikesareadded,existingstrikesoutsidethenewlydeterminedstrikerangeswithoutopeninterestmaybede-listed.10A01.F.10A01.F.PositionInaccordancewithRule559,PositionLimitsandExemptions,nopersonshallownorcontrolCornfuturesandoptionspositionsinexcessof:1.33,000futures-equivalentcontractsnetlongornetshortinanysinglemonthorinallmonthscombined.RefertoRule559.forrequirementsconcerningtheaggregationofpositionsandallowableexemptionsfromthespecifiedpositionlimits.10A02.A.Exercise10A02.A.ExerciseofThebuyerofaCornfuturesoptionmayexercisetheoptiononanybusinessdaypriortoexpirationbygivingnoticeofexercisetotheClearingHouseby6:00p.m.,orbysuchothertimedesignatedbytheExchange,onsuchday.Afterthecloseonthelastdayoftrading,allin-the-moneyoptionsshallbeautomaticallyexercisedunlessnoticetocancelautomaticexerciseisgiventotheClearingHouse.NoticetocancelautomaticexerciseshallbegiventotheClearingHouseby6:00p.m.,orbysuchothertimedesignatedbytheExchange,onthelastdayoftrading.UnexercisedCornfuturesoptionsshallexpireat7:00p.m.onthelastdayoftrading.10A02.B.10A02.B.ExercisenoticesacceptedbytheClearingHouseshallbeassignedthroughaprocessofrandomselectiontoclearingmembers’openshortpositionsinthesameseries.AclearingmembertowhichanexercisenoticeisassignedshallbenotifiedoftheassignmentassoonaspracticableaftersuchnoticeisassignedbytheClearingHouse.Theclearingmemberassignedanexercisenoticeshallbeassignedashortpositionintheunderlyingfuturescontractifacallisexercisedoralongpositionintheunderlyingfuturescontractifaputisexercised.Theclearingmemberrepresentingtheoptionbuyershallbeassignedalongpositionintheunderlyingfuturescontractifacallisexercisedorashortpositionintheunderlyingfuturescontractifaputisexercised.AllsuchfuturespositionsshallbeassignedatapriceequaltotheexercisepriceoftheoptionandshallbemarkedtomarketinaccordancewithRule814onthetradingdayofacceptancebytheClearingHouseoftheexercisenotice.4、CBOT大豆期貨4、CBOT大豆期貨與期權(quán)合約比期貨 期權(quán)ContractPricingDailyPriceLastDeliveryLastTradeExchange5,000bushels(~136metricCentsperJanuary(F),March(H),May(K),July(N),August(Q),(U)&November1/4ofonecentperbushel($12.50perDailyGrainsSettlementProcedure#2Yellowatcontractprice,#1Yellowata6cent/bushelpremium,#3Yellowata6cent/busheldiscount$0.70perbushelexpandableto$1.05andthento$1.60whenthemarketclosesatlimitbidorlimitoffer.Thereshallbenopricelimitsonthecurrentmonthcontractonorafterthesecondbusinessdayprecedingthefirstdayofthedeliverymonth.SecondbusinessdayfollowingthelasttradingdayofthedeliveryThebusinessdaypriortothe15thcalendardayofthecontractThesecontractsarelistedwith,andsubjectto,therulesandregulationsofCBOT.ContractStrikePriceDailyPriceLastTradeOneSoybeanfuturescontract(ofaspecifiedmonth)of5,000bushelsJanuary(F),March(H),May(K),July(N),August(Q),September(U)&November(X);amonthly(serial)optioncontractislistedwhenthefrontmonthisnotastandardoptioncontract.Themonthlyoptioncontractexercisesintothenearbyfuturescontract.Forexample,anOctoberoptionexercisesintoaNovemberfutures1/8ofonecentperbushel($6.25perTradingshallbeconductedforputandcalloptionswithstrikingpricesinintegralmultiplesoften(10)centsandtwenty(20)centsperbushel.MoredetailsonstrikepriceintervalsareoutlinedinRule11A01.E.$0.70perbushelexpandableto$1.05andthento$1.60whenthemarketclosesatlimitbidorlimitoffer.Thereshallbenopricelimitsonthelasttradingday.ThebuyerofafuturesoptionmayexercisetheoptiononanybusinessdaypriortoexpirationbygivingnoticetotheClearingHouseby6:00p.m.Chicagotime.Optionexerciseresultsinanunderlyingfuturesmarketposition.Optionsin-the-moneyonthelastdayoftradingareautomaticallyexercised.ForStandardandSerialOptionContracts:ThelastFridaywhichprecedesbyatleasttwobusinessdaysthelastbusinessdayofthemonthprecedingtheoptionmonth.UnexercisedSoybeanfuturesoptionsshallexpireatp.m.onthelastdayofCBOTCBOT大豆期權(quán)交易規(guī)11A01.A.ContractTradingmaybeconductedinthenearbySoybeanfuturesoptionscontractmonthandanysucceedingmonths,providedhowever,thattheExchangemaydeterminenottolistacontractmonth.ForoptionsthataretradedinmonthsinwhichSoybeanfuturesarenottraded,theunderlyingfuturescontractisthenextfuturescontractthatisnearesttotheexpirationoftheoption.Forexample,theunderlyingfuturescontractfortheFebruaryoptioncontractistheMarchfuturescontract.Forshortdatedoptionsonnewcropfutures,theunderlyingfuturescontractistheNovemberfuturescontractthatisnearesttotheexpirationoftheoption.CBOT大CBOT大豆期權(quán)交易規(guī)11A01.E.ExerciseTradingshallbeconductedforputandcalloptionswithstrikingpricesinintegralmultiplesoften(10)centsandtwenty(20)centsperbushelperSoybeanfuturescontractasfollows:a.Atthecommencementoftradingforeachoptioncontract,theExchangeshalllistastrikeclosesttothepreviousday'ssettlementpriceoftheunderlyingSoybeanfuturescontract(theat-the-moneystrike),andstrikesinintegralmultiplesoftwentycentsinarangeof50percentaboveandbelowtheat-the-moneystrike.Ifthepreviousday'ssettlementpriceismidwaybetweentwostrikes,theat-the-moneystrikeshallbethelargerofthetwo.b.Overtime,newtwentycentstrikeswillbeaddedtoensurethatallstrikeswithin50percentofthepreviousday'ssettlementpriceintheunderlyingfuturescontractarelisted.Atthecommencementoftradingforweeklyoptions,andforoptionsthataretradedinmonthsinwhichSoybeanfuturesarenottraded,forshortdatedoptionsonnewcropfutures,andforstandardoptionmonthsthebusinessdaytheybecomethethirdlistedmonth,theExchangeshalllistastrikeclosesttothepreviousday'ssettlementpriceoftheunderlyingSoybeanfuturescontract(theat-the-moneystrike),andstrikesinintegralmultiplesoftencentsinarangeof25percentaboveandbelowtheat-the-moneystrike.Ifthepreviousday’ssettlementpriceismidwaybetweentwostrikes,theat-the-moneystrikeshallbethelargerofthetwo.Forexample,ten-centstrikepriceintervalsfortheSeptembercontractwouldbeaddedonthefirstbusinessdayaftertheexpirationoftheJuneoptionscontract.Overtime,newten-centstrikepriceswillbeaddedtoensurethatallstrikeswithin25percentofthepreviousday'ssettlementpriceintheunderlyingfuturesarelisted.3.Allstrikeswillbelistedpriortotheopeningoftradingonthefollowingbusinessday.UpondemandandatthediscretionoftheExchange,newout-of-current-rangestrikepricesatregularlydefinedintervalsmaybeaddedfortradingonassoonaspossiblebasis.TheExchangemaymodifytheproceduresfortheintroductionofstrikesasitdeemsappropriateinordertorespondtomarketconditions.Asnew10and20centstrikesareadded,existingstrikesoutsidethenewlydeterminedstrikerangeswithoutopeninterestmaybede-listed.CBOTCBOT大豆期權(quán)交易規(guī)11A01.F.PositionInaccordancewithRule559,PositionLimitsandExemptions,nopersonshallownorcontrolpositionsinexcessof:1.15,000futures-equivalentcontractsnetlongornetshortinanysinglemonthorinallmonthscombined.RefertoRule559.forrequirementsconcerningtheaggregationofpositionsandallowableexemptionsfromthespecifiedpositionlimits.CBOTCBOT大豆期權(quán)交易規(guī)11A02.A.ExerciseofThebuyerofaSoybeanfuturesoptionmayexercisetheoptiononanybusinessdaypriortoexpirationbygivingnoticeofexercisetotheClearingHouseby6:00p.m.,orbysuchothertimedesignatedbytheExchange,onsuchday.Afterthecloseonthelastdayoftrading,allin-the-moneyoptionsshallbeautomaticallyexercised,unlessnoticetocancelautomaticexerciseisgiventotheClearingHouse.NoticetocancelautomaticexerciseshallbegiventotheClearingHouseby6:00p.m.,orbysuchothertimedesignatedbytheExchange,onthelastdayoftrading.UnexercisedSoybeanfuturesoptionsshallexpireat7:00p.m.onthelastdayofCBOTCBOT大豆期權(quán)交易規(guī)11A02.B.ExercisenoticesacceptedbytheClearingHouseshallbeassignedthroughaprocessofrandomselectiontoclearingmembers’openshortpositionsinthesameseries.AclearingmembertowhichanexercisenoticeisassignedshallbenotifiedthereofassoonaspracticableaftersuchnoticeisassignedbytheClearingHouse.Theclearingmemberassignedanexercisenoticeshallbeassignedashortpositionintheunderlyingfuturescontractifacallisexercisedoralongpositionifaputisexercised.Theclearingmemberrepresentingtheoptionbuyershallbeassignedalongpositionintheunderlyingfuturescontractifacallisexercisedandashortpositionifaputisexercised.AllsuchfuturespositionsshallbeassignedatapriceequaltotheexercisepriceoftheoptionandshallbemarkedtomarketinaccordancewithRule814.onthetradingdayofacceptancebytheClearingHouseoftheExerciseNotice.5、5、國際期貨期權(quán)產(chǎn)品交易量2011年全球農(nóng)產(chǎn)品期權(quán)占農(nóng)產(chǎn)品期2011年全球農(nóng)產(chǎn)品期權(quán)占農(nóng)產(chǎn)品期貨CME農(nóng)CME農(nóng)產(chǎn)品期貨期權(quán)產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品日均交易量圖CME農(nóng)CME農(nóng)產(chǎn)品電子期權(quán)日均成交CME農(nóng)CME農(nóng)產(chǎn)品期權(quán)產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品日均交易量圖CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期權(quán)產(chǎn)品日均交易量CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品現(xiàn)貨月20天歷史波動CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品現(xiàn)貨月20天歷史波動CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品現(xiàn)貨月20天歷史波動CME農(nóng)CME農(nóng)產(chǎn)品期貨產(chǎn)品現(xiàn)貨月20天歷史波動CME農(nóng)CME農(nóng)產(chǎn)品電子期權(quán)日均成交CME農(nóng)CME農(nóng)產(chǎn)品電子期權(quán)日均成二、農(nóng)產(chǎn)品期權(quán)套期保值應(yīng)期權(quán)服務(wù)農(nóng)二、農(nóng)產(chǎn)品期權(quán)套期保值應(yīng)期權(quán)服務(wù)農(nóng)業(yè)的全球案1.美國農(nóng)產(chǎn)品期權(quán)試點2.墨西哥的農(nóng)產(chǎn)品期權(quán)3.加拿大活牛期權(quán)試點4.美國的牛奶期權(quán)試點5.美國的生豬期權(quán)試點1、美1、美國農(nóng)產(chǎn)品期權(quán)試點1992年，美國農(nóng)業(yè)部宣布，根據(jù)《1990年農(nóng)業(yè)法》，從1993年生產(chǎn)年1931194和1995益2、墨2、墨西哥農(nóng)產(chǎn)品期權(quán)試點1994年，墨西哥政府設(shè)立棉花價格支持計劃，對棉花實施農(nóng)產(chǎn)品期權(quán)項目然后，99Asrcasrc支付5asecFNC至1是玉米只占1%，因為大多數(shù)玉米農(nóng)民的規(guī)模都很小3、加3、加拿大活牛期權(quán)試點項1995年開始至1998年6月。加拿大的食品部組織開展期權(quán)試點項目，為活的生產(chǎn)商提供商品衍生工具，以此替代傳統(tǒng)的農(nóng)業(yè)收入支持計劃?；钆Ｆ跈?quán)試點項目為活牛生產(chǎn)商提供了定制的期權(quán)合約，試圖通過提供柜臺（場外）工具作為市場與芝加哥商業(yè)交易所活牛期貨交易關(guān)聯(lián)的橋梁。活牛期權(quán)試點項目的期權(quán)實質(zhì)上是根據(jù)芝加哥商業(yè)交易所的活牛期貨合約的加拿大美元價值設(shè)計的一種看跌期權(quán)。合約單位比通常的期權(quán)單位較小。農(nóng)場信貸公司負(fù)責(zé)實施定計劃(NTSP)終止后同意進(jìn)行的,并與美國市場上的活牛最近5年的平均水平時,對生產(chǎn)者進(jìn)行補償。為了使財政保持相對的中立,并與當(dāng)時的關(guān)貿(mào)總協(xié)定(GATT)保持一致,1992年到1993牛期權(quán)試驗計劃(COPP)。期貨合約的1牛期權(quán)試驗計劃(COPP)。期貨合約的1/5,OTC)零售,具體交割通過加拿大聯(lián)邦農(nóng)場信用公司進(jìn)行。生產(chǎn)者可以通過賣出看跌期權(quán)進(jìn)行對沖,也可以持有期權(quán)頭寸4、美國的牛4、美國的牛奶期權(quán)試點項1999年美國農(nóng)業(yè)部實施乳制品期權(quán)試點方案（DOPP），該項目為特定縣6080%3055、美國的生豬期權(quán)試點方2002年美國農(nóng)業(yè)部實施生豬期權(quán)試點方案。以使愛荷華州的生豬生產(chǎn)者夠保護(hù)自己免受生豬價格走低造成的損失1900元/噸，買入看漲期權(quán)1900元/噸，買入期漲到2000，結(jié)果如何期貨確定的是最低買買期保值（賣出看跌期權(quán)買入期貨對比期權(quán)執(zhí)行價格＋權(quán)利金收入>期貨賣賣出期買期保值（賣出看跌期權(quán)買入期貨對比期權(quán)執(zhí)行價格＋權(quán)利金收入>期貨賣賣出期權(quán)比買出期貨獲得的價格優(yōu)勢大2012年9月小麥期貨價格期權(quán)執(zhí)行價格＋權(quán)利金收入>期貨賣賣期權(quán)執(zhí)行價格＋權(quán)利金收入>期貨賣賣出期權(quán)比賣出期貨獲得的價格優(yōu)勢大小麥期貨價格71700元/噸，買入看跌期權(quán)1700元/噸，賣出期漲到1800跌到1600期權(quán)為期權(quán)為實體經(jīng)濟期權(quán)對實體經(jīng)濟的影 ?期權(quán)腿期期權(quán)對實體經(jīng)濟的影 ?期權(quán)腿期期期權(quán)可保值、增 期權(quán)（買方有無有無有無期權(quán)可保值、增 期權(quán)（買方有無有無有無三、農(nóng)產(chǎn)品期權(quán)與期貨的結(jié)合利三、農(nóng)產(chǎn)品期權(quán)與期貨的結(jié)合利中國國航境外燃油套保虧損分中國國航境外燃油套保虧損分20087月制定，期限最長至2011（20050%10%式缺乏市場的流動性。缺乏市場的流動性。由于現(xiàn)在國航與對手方的期限最長至2011年，如果在此期間油價維持國際油價自08年7月達(dá)到歷史最高值147.25美元/桶后大幅下跌，半年內(nèi)低跌至33.2美元/由于國航與對手簽訂的協(xié)議均為看漲期權(quán)，所以國際油價下跌過程中遭遇套保虧損期權(quán)功除美國、加拿大、英國、德國、澳大利亞、日本、新加坡、韓國、臺灣等眾多發(fā)達(dá)國家和地區(qū)外，還有印度、巴西、俄羅斯、墨西哥等很多發(fā)展中國家也在積極推動和發(fā)展期權(quán)市場。原因是因為期權(quán)有著強大的功能，國內(nèi)越早推出期權(quán)市場，國內(nèi)投資者越早一天受益。期權(quán)的具體功能有：期權(quán)功除美國、加拿大、英國、德國、澳大利亞、日本、新加坡、韓國、臺灣等眾多發(fā)達(dá)國家和地區(qū)外，還有印度、巴西、俄羅斯、墨西哥等很多發(fā)展中國家也在積極推動和發(fā)展期權(quán)市場。原因是因為期權(quán)有著強大的功能，國內(nèi)越早推出期權(quán)市場，國內(nèi)投資者越早一天受益。期權(quán)的具體功能有：（四）（四）全球期權(quán)市場的交易0 四、農(nóng)產(chǎn)品期權(quán)四、農(nóng)產(chǎn)品期權(quán)投入市前入市前行情分與交易策略運第1招：即將大跌，買入看跌期權(quán)賺錢第2招：看不漲，賣出看漲期權(quán)賺取權(quán)第3招：強烈看空，建立合成期貨空第4招：再跌有限，買入看跌期權(quán)垂直套利風(fēng)即將大跌，買入看跌期權(quán)賺錢最第1使用即將大跌，買入看跌期權(quán)賺錢最第1使用突破支撐M頭過勁線頭肩頂過勁線下突破圓弧頂上突破突破下案案10月17買入CF601P15400交易指令10月17買入CF601P15400交易指令1買入CF601P15400損買入CF601P15400損益15200期貨-盈利區(qū)虧損部位部位180元10.21持有三種持有三種情形12315200期貨-盈利區(qū)虧損市市場屬于大空頭格局決定執(zhí)行價格持有到平倉：流動性計算損益平衡買進(jìn)后，是否有往原先預(yù)期的方向發(fā)展？一致？相反優(yōu)點。第2招：看不漲第2招：看不漲，賣出看漲期權(quán)賺取權(quán)利使用時預(yù)期行情只會微幅下月1F1月1F1F61050手CF0102元。賣出CF601C15400交易指令買/合約代委托數(shù)委托價開/賣1開10.17,25010.17,25011.1以72平到期三種情損 期貨價盈利 損預(yù)預(yù)決定執(zhí)行價格;持有到期,時間價值？平倉，流動性損益平衡走勢：一致，平倉？不一致，停損優(yōu)缺第3第3招：強烈看空，建立合成期貨空合成期貨空頭：買入看跌期權(quán)+賣出看漲期權(quán)=期貨空頭使用期貨市場處于大空頭格局，預(yù)期后市行將大賣出CF601C15400@250凈收入權(quán)利金50損益平衡到期三種情賣出盈利區(qū)虧損區(qū)操操作預(yù)測決定執(zhí)行價格：平值為主平倉設(shè)止損點行情與預(yù)測是否一致優(yōu)缺買入買入高執(zhí)行價格的看跌期權(quán)+賣出低執(zhí)行價格月1月1F150F615,賣出CF601P15000CF601P15400的賣出價為200元，CF601P15000的買入價為90因此，可以成交的價差為110元。這就是老王買入價差部位的1招中小王買入CF60