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1、大宗商品期权市场及其在企业价格风险管理中的应用,http:/,大宗商品期权市场,由于大宗商品市场本身的变化和企业本身面临的商业环境的复杂化，大宗商品期权在企业的价格风险管理和保值中的应用越来越广泛。虽然在这一过程中出现过各类问题，但合理的运用各类期权产品仍然可以给各类企业带来很好的价格风险管理效果，因此这些产品被广泛应用。何谓合理应用？我们认为期权代表某种灵活性。当企业由于自家的资产或面临的环境享有某种灵活性时，它可以通过卖出期权产品把这种灵活性变现，相反，当企业由于某种原因缺少某种灵活性，而这种缺失又会给企业的经营带来比较大的风险时，它就应该考虑买入相应的期权产品来对冲这一风险。那么市场上有
2、哪些期权产品呢，我们试着把他们分成三类。一。期货交易所里挂牌的期权（exchange traded options)二。简单场外期权，如一般亚式期权（Asian Options)，调期期权（swaptions)，多资产期权（basket options）等。三。一些非线性的复杂或混合期权。(other exotic options),http:/,大宗商品期权市场交易所挂牌期权,一。期货交易所里挂牌的期权（exchange traded options)各大商品交易所（LME，ICE，CME）都有针对其期货的挂牌期权，比如LME铜挂未来63个月，行权价是由交易所规定的，USD25-USD997
3、5之间是25美元间隔，USD50-USD19950是50美元间隔，USD20000以上是100美元间隔。交易所挂牌期权都是欧式或美式期权。这些期权的标的物是期货合约，到期日多是期货合约到期前1-2周。对行权过程有各自但大同小异的规定。交易所挂牌期权是各类场外期权交易和对冲的基础，他们对于发现期权的市场价格，尤其是波动性至关重要。但是一般企业通常不用这些期权，多数参加交易的是做市商，对冲基金等机构。,http:/,大宗商品期权市场简单场外期权亚式期权,二。简单场外期权亚式期权（Asian Options)，亚式期权的标的物为一个指数的平均值，自动计价行权。作为一种场外产品被广泛运用。作为场外产品
4、，指数在一定期限的平均值跟容易跟实际风险敞口匹配，另外亚式期权因为是场外交易所以很灵活，到期日，行权价等都可以协商选择，最重要的是标的指数的选择面比交易所挂牌期权范围广阔的多，这一点在能源市场上尤为突出，交易所里只有五种，场外可以有几十种。当然，多数场外期权的“效率”不如交易所挂牌的。生产商可以购买卖出期权为未来的产量保值，最终用户可以购买买入期权为其消费保值，有剩余产能的生产商也可以卖出买入期权取得因拥有剩余产能而得到的收益。,http:/,5,大宗商品期权市场简单场外期权亚式期权,在实践中，多数企业选择两重或三重期权组合，以减少保值成本，当然也对应的放弃一些潜在的超额收益。例如，一个船公司
5、，按他的运费计算，三季度燃料油涨到USD620/MT 以上他就会蚀本，所以燃料油价格上涨是他的风险.现在三季度掉期是USD600/MT.它可以选择买入一个USD620/MT的买入期权，但是他又不愿意一下付出不少期权金，不过他觉得如果市场跌到USD580/MT 一下，他愿意放弃更低的油价带来的额外好处，于是他可以卖出一个USD580/MT 的卖出期权，用卖这个期权的收入来买那个USD600/MT的买入期权。这就是所谓的“消费者双重期权组合”。跟直接用掉期来保值效果有些不同。这样的结构反过来就可以为生产商保值，以此也可演变出其他组合,http:/,6,大宗商品期权市场简单场外期权掉期期权,掉期期权
6、（swaptions)，掉期期权的标的物是一个掉期合约，一般以欧式期权的形式成交，行权时转化成一个掉期合约。在这一点上，它有点儿像交易所挂牌期权，但同时它有场外交易的灵活性和多种标的选择。跟一般亚式期权比起来，除了标的，行权价，方向，掉期期权交易时还需要协商的，或同时是一个重要的价格影响因素是到期日（或称行权日）。行权日和标的掉期的计价期可以很近，也可以有很远的距离，但一般是早于标的掉期的计价期开始日期，否则就成了“回看”或部分回看期权，那算是一种比较复杂的期权，一般也比较贵。有些称为“可展期掉期”的交易实际就是一个掉期加一个掉期期权。,http:/,7,大宗商品期权市场简单场外期权多资产期权
7、,多资产期权（basket options）多资产期权是从资本市场引进的概念，本来是指期权的标的物是一个投资组合（或其价格指数），但在商品市场中，往往是指差价的期权。很多实物资产的收益是取决于市场上某种商品的价格，比如一个油田，一个铜矿。另外一些实物资产的收益则取决于价差（不同商品，同一商品不同时间或地点等），比如一个炼油厂，一条管线，一个油库或发电厂。在美国我们有交易天然气和电价差的掉期期权。在亚洲我们有交易新加坡成品油与中东原油价差的亚式期权或掉期期权。在欧洲我们有交易带船期的布伦特的月差的亚式期权 等等。,http:/,8,大宗商品期权市场简单场外期权多资产掉期期权的案例,亚洲现在面临炼
8、力过剩的问题，而对于亚洲的炼油厂来说，柴油/迪拜价差是个重要价格指标，因为多数大型炼厂中间馏分的产出是占到一半以上。目前该价差 2H14是17.6，1H15是17.8，我们给一些炼厂做的是如下结构。我们从炼厂买入2H14,柴油/迪拜18.2 的掉期.也就是无论市场怎么变化，炼厂在2H14都保住了18的收益。那么这0.4从哪里来呢？炼厂卖给我们一个1H15柴油/迪拜18 的买入掉期期权。行权日炼厂选在2014年10月15日.这样行权日后炼厂还有一个多月时间依行权情况布置生产。这样一个结构，炼厂给2H14的加工量做了一个比一般掉期好效果好的保值，他不怕这个价差下降了。但从衍生品这一边看，他在1H1
9、5有个风险，就是该价差大涨，他衍生品账面会亏给我很多，那么他为什么敢这么做呢？因为他有闲置产能。那么如果该差价到年底还是比较低呢？他可以再重复，做1H15对2H15.要是暴跌呢？只好减产了。,http:/,9,大宗商品期权市场-一些非线性的复杂或混合期权。(exotic options),一些非线性的复杂或混合期权。(other exotic options)很多复杂期权是从资本，尤其是投资市场借鉴过来的。但在商品市场中每隔一段时间就会有由此而发的交易丑闻出现，这些事件中我觉得银行和客户都有问题。投资产品是用担风险来换收益的交易，而我们面临的企业客户多数应该做的是出让或放弃一些收益来规避风险的
10、交易.我们愿意跟客户做这些交易，但前提是我们充分了解客户的经营中的确有可以对冲卖出的某种复杂期权的灵活性目标掉期（target swap)/目标赎回（target redemption)敲入/敲出（knock-in，knock-out)可回撤的结构（callable structures),掉期，多重期权等复合选择掉期（chooser swap，FX/commodity）,http:/,大宗商品期权市场在保值中的应用,最保守,最进取,买卖出期权,双重期权,卖掉期,增强掉期,卖买入期权,付现金没下跌风险上涨潜在收益全拿到,不用或只付少量现金上涨潜在收益拿一部分风险有限,不用付现金上涨潜在收益全没
11、有下跌风险全保住,不用付现金锁定比市场好一些的掉期市场变化大时也许失掉保护。或部分风险保不住,收现金下跌风险保不住上涨潜在收益没有,以为生产商保值为例,可以看出，期权在从最保守的保证到最“进取”的保值方案中都有运用，它是衍生品市场的重要部分。如同所有衍生品工具，对于企业来说，他的用途是规避风险，但不合理的运用也会给企业带来不必要的风险。,http:/,Disclaimer,This material was produced by a marketing function within the BNP Paribas Group(being BNP Paribas together with
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