Looking back on 2009, the steel market will continue to show a situation of oversupply, and it is difficult for steel exports to increase substantially. In the first half of 2009, the steel price will continue to maintain its current position with a slight fluctuation. In the second half of 2009, with the effect of various economic stimulus measures, it is expected to boost steel prices. On the basis of this analysis, the following scheme is formulated:
1. Scheme overview:
Avoidable risks: steel prices have fallen sharply after bulk purchase.
Applicable objects: first-class steel traders and large distributors;
Hedging direction: selling hedging;
The basic operation method of selling hedging: buying spot in the market and selling forward rebar;
Brief introduction of selling hedging principle: after buying spot steel, sell unsold inventory steel and in-transit steel in the bulk market to lock in sales profits.
2. Simulation operation example:
In early February, a steel trading company purchased 10000 tons from steel mills. The settlement price of the steel mill is 3,300 yuan, and the sales price of the company is 3,350 yuan (the sales profit is 50 yuan). The arrival date is February 25th. In order to prevent the risk of steel prices falling sharply before the arrival of the goods, the company shorted 10000 tons of rebar at 3400 yuan in the big market.
In mid-February, the spot price of steel fell to 3200 yuan, and the price of steel electronic disk fell to 3250 yuan. The company signed a sales contract to sell 2,000 tons of steel at 3,200 yuan, and at the same time closed 2,000 tons of rebar sold at 3,250 yuan.
Hedging result analysis:
Spot profit and loss: 3200-3300=-100 yuan/ton
Profit and loss of electronic disk: 3400-3250= 150 yuan/ton.
Actual profit: 50 yuan/ton
If the hedging operation is not performed, then:
Spot profit and loss: 3200-3300=-100 yuan/ton
Simulation conclusion: Through hedging, the company can achieve the expected profit target and avoid the risk of falling steel prices.
3. The operation plan of a steel trading company:
Robust selling and hedging operation scheme
Determination of hedging price
Based on the judgment of the steel price trend in the first half of 2009, the steel price will fluctuate in the range of 3000-3900 yuan in the first half of 2009, with the low point of 3000-3300 yuan/ton (taking tertiary rebar as an example), the high point of the fluctuation range is 3800-3900 yuan, and the average price in the first half of 2009 is about 3400-3500 yuan.
Based on the above judgment, the following hedging scheme is formulated.
3,000-3,200 yuan/ton
Do a small amount of value preservation for inventory and in-transit steel;
Hedging ratio: 30%
3,300-3,500 yuan/ton
At least half of the value of steel in stock and in transit;
Hedging ratio: 50%
3,600-3,800 yuan/ton
Most of the steel stocks in stock and in transit are preserved;
Hedging ratio: 80%
More than 3,800 yuan/ton
All steel stocks in storage and transportation are kept;
Hedging ratio: over 90%
Note: Hedging ratio = number of short futures/number of commodities sold without pricing.
The above hedging ratio is only a proposal, and the actual hedging quantity should be determined according to the company's risk tolerance and margin adequacy. Unsecured spot, according to daily operation, choose the opportunity to sell high and buy low, and determine the trading opportunity according to the change of steel market. Unsecured spot will bear the risk of falling steel prices.
Two. Purchase hedging scheme to offset the purchase cost:
1. Scheme overview:
Avoidable risks: when the steel price is relatively low, it is impossible to replenish the inventory in time and miss the opportunity to purchase goods; When the steel price is relatively high, the continuous supply can not be sold in time, forming passive hoarding;
Applicable objects: first-class steel traders and large distributors;
Operation direction: two-way operation;
The basic operation method of selling hedging: when the judged low point cannot replenish the inventory in time, do it in the futures market.
Buy long; After replenishing the inventory or reaching the stage high point, do more in the steel bulk market.
Brief introduction of principle: The essence of spot trading of steel is to speculate in the spot market of steel, and the profit comes from the bid-ask price difference of spot. However, large and medium-sized steel traders can't freely choose the purchasing opportunity due to liquidity and other reasons, mainly because they can't freely decide the purchasing quantity and price. China Standard Steel Electronic Trading Market provides traders with a market to buy and sell steel forward contracts at market price and quantity at any time during the opening hours of the electronic disk market.
2. Simulation operation example:
A steel trading company reached an agreement with a steel mill to sell 65,438+00,000 tons of steel every month. The settlement price is a comprehensive index of steel in Shanghai according to the delivery date, and steel traders usually control the shipment below 3000 tons. On March 2nd, the contract price of rebar electronic disk in June fell to 3,250 yuan. The marketing department thinks this is the low point of rebar price this month, and the inventory of 3,000 tons should be increased according to 3,250 yuan. However, according to the information of steel mills, the fastest batch of 3,000 tons will not be delivered until March 10. On March 2, the marketing department bought 3,000 tons of steel futures for 3,250 yuan as virtual inventory.
March 10, delivered by steel mill, with settlement price of 3500 yuan. On that day, 3000 tons of steel futures closed at 3550 yuan.
Hedging result analysis:
Spot purchase cost of 3000 tons of steel: 3500 yuan/ton
Profit of steel forward contract: 3550-3250=300 yuan/ton.
Offset spot purchase cost: 3500-300=3200 yuan/ton.
If there is no hedging, then: traders can't buy the spot at a relatively low price, and the procurement cost will increase by 300 yuan/ton.
Simulation conclusion: The flexible operation of hedging reduces the purchasing cost of steel spot.
3. Steel trading companies to establish virtual inventory
Virtual inventory construction scheme
Determination of library building price
Based on the judgment of the steel price trend in the first half of 2009, the steel price will fluctuate in the range of 3000-3900 yuan in the first half of 2009, with the low point of 3000-3300 yuan/ton (taking tertiary rebar as an example), the high point of the fluctuation range is 3800-3900 yuan, and the average price in the first half of 2009 is about 3400-3500 yuan.
Based on the above judgment, the following operational plan is formulated.
price range
Operation scheme
Under 3 100
If you can't replenish the spot inventory at a low price in time, buy the steel forward contract with a small amount of money and establish virtual inventory;
Virtual inventory ratio: 90%
3100-3,200 yuan/ton
If you can't replenish the spot inventory in time, use a small amount of money to buy steel forward contracts and establish virtual inventory;
Virtual inventory ratio: 70%
3,200-3,500 yuan/ton
Reduce virtual inventory and offset the cost of spot purchase;
Virtual inventory ratio: less than 30%
3,500-3,800 yuan/ton
Empty the virtual inventory to offset the spot purchase cost;
If there is still spot, sell the spot to preserve the value;
The hedging ratio is 70%
More than 3,800 yuan/ton
All steel stocks in storage and transportation are kept;
Hedging ratio: over 90%
Description: Virtual Inventory Proportion = Virtual Inventory Quantity/Company's Maximum Inventory Proportion
Hedging ratio = number of short futures/number of commodities sold without pricing.
The above virtual inventory ratio and hedging ratio are only suggestions, and the actual virtual inventory ratio and hedging quantity should be determined according to the company's risk tolerance and the adequacy of futures account margin.
Unsecured spot, according to daily operation, choose the opportunity to sell high and buy low, and determine the trading opportunity according to the change of steel market. Unsecured spot will bear the risk of falling steel prices.
3. Cross-market arbitrage scheme:
1. Scheme overview:
Applicable object: institutional customers who can operate electronic disk and futures market at the same time.
Planning goal: to obtain low-risk profits.
Operation direction: two-way operation;
Basic operation method: do the same amount of trading in two markets at the same time, and make use of the price difference changes of different contracts in the two markets to make profits.
Brief introduction of principle: Cross-market arbitrage refers to buying (or selling) a commodity contract in a certain delivery month in one exchange and selling (or buying) the same commodity contract in the same delivery month in another exchange, so as to hedge the contracts of market opponents in forward and forward contracts respectively at favorable opportunities.
2. Simulation operation example:
A steel trading company also has trading accounts in two rebar block trading markets in Shanghai. Through the observation of the two contracts, it is found that the physical objects of the contracts traded by the two companies are basically the same, and the price trends of the two companies are basically the same, but there will still be small-scale fluctuations. The price difference between the two is basically maintained within the range of floating 30 yuan per ton: when one market price is higher than another market price, 30 yuan: buy the market forward contract at a low price and sell the market forward contract at a high price; On the contrary: buy high-priced contracts and buy and sell low-priced contracts;
Profit per ton of the above operations: 30+30=60 yuan/ton.
3. Cross-market arbitrage operation method of a steel trading company
Cross-market arbitrage operation method
Determination of contract price difference range
1. Identify two contracts that can be arbitrage.
2. Track the price difference between A block market and B block market.
3. According to the price trend of the two markets, after calculating the distribution cost, transportation cost and inventory cost, determine the reasonable range of price difference in a certain period:
Price difference range: upper limit A→ lower limit B.
Based on the above judgment, the following operational plan is formulated.
price range
Operation scheme
The price difference between the two contracts is close to or exceeds the upper limit A.
Sell contract A and buy the same amount of contract B. ..
The price difference between the two contracts approaches or exceeds the lower limit B.
Buy (close) contract A and sell (close) contract B, with the same amount.
Note: Contract price difference
Virtual Inventory Proportion = Virtual Inventory Quantity/Company's Maximum Inventory Quantity
Source: Shanghai Gui Zhong Steel Electronic Trading Market. It doesn't show some tables. If you want to read the full text, you can go directly to their website.