Futures to spot
In early August, according to the export contract, an American exporter needed to buy 50,000 tons of wheat in June+10, 5438. In order to prevent the price from rising, hedging was carried out in CBOT, that is, 367 lots (about 50,000 tons) of June wheat futures contracts were bought at the price of 830 yuan/ton (equivalent to RMB). In mid-September, a wheat warehouse also sold 400 wheat futures contracts (54,432 tons) in the market at 165438+ 10, and the futures price was 850 yuan/ton. The price of wheat futures contract in June 65438+1October 65438+1October 65438+1October rose to 9 12 yuan/ton (settlement price), and the spot price was about 890 yuan/ton. At this time, the exporter needs wheat and makes an inquiry to the storage company to buy wheat. He learned that the above-mentioned purchasing and storage companies also hedged the futures market, so he hoped to buy wheat and close the position at the same time in future positions. If the due delivery cost is 35 yuan/ton, the storage and interest cost is 5 yuan/ton.
The first scheme: cash for cash.
If the wheat storage company agrees to cash out in the future, the exporter and the storage company can reach a long-term cash-out agreement according to the following procedures: both parties agree to sign a spot contract in June 5438+1October 65438+May, stipulating that both parties will deliver and receive wheat at the price of 890 yuan/ton, and at the same time sign a long-term cash-out agreement, stipulating that the buyer and the seller will close 367 lots at the price of 9 10 yuan/ton.
1, the actual price of wheat purchased by exporters.
Exporters' closing profit and loss: 9 10 yuan/ton -830 yuan/ton =80 yuan/ton.
Wheat agreed delivery price: 890 yuan/ton.
Actual price of wheat purchased: 890 yuan/ton -80 yuan/ton =8 10 yuan/ton.
The actual price of wheat purchased by exporters is lower than the opening price and the price of wheat obtained through "delivery".
2, the actual sales price of wheat storage.
Closing profit and loss: 850 yuan/ton -9 10 yuan/ton =-60 yuan/ton.
Wheat agreed delivery price: 890 yuan/ton.
Actual selling price of wheat: 890 yuan/ton -60 yuan/ton =830 yuan/ton.
The actual selling price of the wheat warehouse is lower than the opening price of 850 yuan/ton, and it will be 40 yuan/ton if the delivery is due. Therefore, compared with delivery, it will save the cost of 20 yuan/ton for wheat storage.
Option 2: Trading spot after liquidation in the trading hall.
If wheat exporters and storers close their positions in the trading hall respectively and then buy and sell wheat, the buying and selling price of wheat is as follows (if both sides close their positions, there are three possibilities).
The closing prices of exporters and warehouses are 900 yuan/ton, 9 10 yuan/ton and 920 yuan/ton respectively.
Prices of wheat purchased by exporters: 820 yuan/ton, 8 10 yuan/ton, 800 yuan/ton.
Prices of wheat sold by the storage companies: 840 yuan/ton, 830 yuan/ton, 820 yuan/ton.
When the closing price is 900 yuan/ton, the actual cost of "closing positions to buy wheat" is higher than that of "cash conversion" (820 >: 8 10), which is unfavorable to exporters; The actual income of wheat storage and sales is higher than that of "cash for cash" sales (840 & gt830), which is beneficial to storage business. If the closing price is 920 yuan/ton, the actual payment of the exporter to close the position and buy wheat is lower than the actual cost of buying wheat in cash (800