1. Stable selling and value-preserving operation plan:

Looking back on 2009, the steel market will continue to be in a situation of oversupply, and it will be difficult for steel exports to grow significantly. In the first half of 2009, steel prices will continue to maintain their current position with slight fluctuations. In the second half of the year, as the effects of various economic stimulus measures become apparent, steel prices are expected to rise. On the basis of this analysis, the following plan was formulated:

1. Overview of the plan:

Avoidable risks: Steel prices dropped sharply after bulk purchase.

Applicable objects: first-class steel traders and large dealers;

Value preservation direction: value preservation during the sale period;

Basic operation method of value preservation during the sale period: purchase Buy the spot and sell the forward rebar in a certain bulk market at the same time;

Introduction to the principle of selling and hedging: after purchasing the spot steel, short-sell the unsold steel in stock and steel in transit in the bulk market to lock in Sales profit.

2. Simulation operation example:

A certain steel trading company purchased ***10,000 tons from a steel mill in early February. The steel mill’s settlement price was 3,300 yuan, and the company’s sales price was 3,350 yuan ( Sales profit of 50 yuan), arrival date is February 25th. In order to prevent the risk of a sharp drop in steel prices before the arrival of the goods, the company shorted 10,000 tons of rebar at a price of 3,400 yuan in a certain bulk market.

In mid-February, the spot price of steel fell to 3,200 yuan, and the electronic steel price dropped to 3,250 yuan. The company signed a sales contract and sold 2,000 tons of this batch of steel for 3,200 yuan. The 2,000 tons of rebar sold were closed at 3,250.

Hedging result analysis:

Spot profit and loss: 3200-3300= -100 yuan/ton

Electronic trading profit and loss: 3400-3250= 150 yuan/ton

Actual profit: 50 yuan/ton

If no hedging operation is performed, then:

Spot profit and loss: 3200-3300= -100 yuan/ton< /p>

Conclusion of simulation operation: Through hedging, the company can achieve the expected profit target and avoid the risk of falling steel prices.

3. A steel trading company’s value-preserving operation plan:

Robust selling value-preserving operation plan

Determination of the value-preserving price

Based on Judging the steel price trend in the first half of 2009, the steel price in the first half of 2009 will fluctuate between 3,000-3,900 yuan, with the low point of the shock being 3,000-3,300 yuan/ton (three-grade rebar as an example). The high point of the range is 3800-3900 yuan, and the average price in the first half of the year is around 3400-3500 yuan.

Based on the above judgment, the following hedging plan is formulated

3000-3200 yuan/ton

A small amount of hedging for the steel spot in stock and in transit;

Value preservation ratio: 30%

3300-3500 yuan/ton

At least half of the value of steel in stock and in transit will be preserved;

Value preservation ratio : 50%

3600-3800 yuan/ton

Maintain the value of most of the steel stocks in stock and in transit;

Value preservation ratio: 80%

More than 3,800 yuan/ton

All steel stocks in stock and in transit will be preserved;

Value preservation ratio: more than 90%

Explanation: Value preservation Ratio = Short-selling quantity of futures/Quantity of unpriced goods sold

The above value-preserving ratio is only a suggested solution, and the actual value-preserving quantity will be determined based on the company's risk tolerance and margin adequacy. For spot stocks that have not been valued, we will choose the opportunity to sell high and buy low according to daily operations, and determine the buying and selling timing based on changes in the steel market. Uninsured spot stocks will bear the risk of falling steel prices.

2. Buying hedging plan to offset the purchase cost:

1. Overview of the plan:

Risks that can be avoided: When steel prices are relatively low , unable to replenish inventory in time and miss the opportunity to purchase goods; when the steel price is relatively high, there is a continuous flow of goods, and the inability to sell goods in time results in passive hoarding;

Applicable objects: first-level steel traders and large dealers;

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Operation direction: two-way operation;

Basic operation method of selling period hedging: when the judged low point cannot replenish inventory in time, make a long position in the futures market

Buy; after replenishing inventory or reaching a periodic high, close long positions in the steel bulk market.

Principle introduction: The essence of steel spot trade is speculation in the steel spot market, and profits come from the price difference between the purchase and sale of the spot. However, large and medium-sized steel traders cannot freely choose the timing of purchase due to liquidity and other reasons, which is mainly reflected in the inability to freely determine the quantity and price of purchase. The standard steel electronic trading market provides traders with a market where they can freely choose to buy and sell steel forward contracts at market prices and quantities at any time during the opening hours of the electronic market.

2. Simulation operation example:

A steel trading company has an agreement with a steel mill to sell 10,000 tons of steel per month, and the settlement price is based on a certain steel comprehensive index in Shanghai on the day of shipment. As a standard, the steel trader usually controls the cargo volume to be less than 3,000 tons. On March 2, the June contract price of rebar electronic disk dropped to 3,250 yuan. The marketing department believed that this was the low point of rebar price this month, and the inventory should be increased by 3,000 tons at 3,250 yuan. However, information from steel mills indicates that the fastest batch of 3,000 tons will not be shipped until March 10. The marketing department purchased 3,000 tons of steel futures at 3,250 yuan on March 2 as virtual inventory.

The steel mill arrived on March 10, with a settlement price of 3,500 yuan. On that day, the 3,000-ton steel futures position was closed at 3,550 yuan.

Analysis of hedging results:

Purchasing cost of spot purchase of 3,000 tons of steel: 3,500 yuan/ton

Profit of steel forward contract: 3550-3250= 300 yuan/ton

Spot purchase cost after offset: 3500-300=3200 yuan/ton

If there is no hedging, then: Traders cannot trade at relatively low prices If you purchase spot goods, the purchase cost will increase by 300 yuan/ton.

Conclusion of simulation operation: Flexible operation of hedging, the company reduced the purchase cost of spot steel.

3. Steel trading company builds virtual inventory

Virtual inventory construction plan

Determination of warehouse construction price

Based on the 2009 Shanghai Judging the steel price trend in the first half of 2009, steel prices will fluctuate in a range between 3,000-3,900 yuan, with the low point of the shock being 3,000-3,300 yuan/ton (three-grade rebar as an example), and the high point of the shock range being 3800-3900 yuan, and the average price in the first half of the year was around 3400-3500 yuan.

Based on the above judgment, the following operation plan is formulated

Price range

Operation plan

Below 3100

For example Unable to replenish spot inventory in a timely manner at low prices, purchase steel forward contracts with a small amount of funds to establish virtual inventory;

Virtual inventory ratio: 90%

3100-3200 yuan/ton< /p>

If spot inventory cannot be replenished in time, use a small amount of funds to buy forward steel contracts to establish virtual inventory;

Virtual inventory ratio: 70%

3200-3500 Yuan/ton

Reduce virtual inventory and offset the cost of spot purchase;

Virtual inventory ratio: less than 30%

3500-3800 yuan/ton

Clear the virtual inventory and reduce the cost of spot purchase;

If there is still spot, sell the spot to preserve the value;

The value preservation ratio is 70%

More than 3800 yuan/ton

All steel stocks in stock and in transit will be value-preserved;

Value preservation ratio: more than 90%

Explanation: Virtual inventory ratio = virtual Inventory quantity/company’s maximum inventory ratio

Value preservation ratio = futures short quantity/unpriced sales quantity of goods

The above virtual inventory ratio and value preservation ratio are only suggestions. The actual virtual inventory ratio, The amount of value preservation must also be determined based on the company's risk tolerance and the margin adequacy of the futures account.

For spot stocks that have not been valued, we will choose the opportunity to sell high and buy low according to daily operations, and determine the buying and selling timing based on changes in the steel market. Uninsured spot stocks will bear the risk of falling steel prices.

3. Cross-market arbitrage plan:

1. Plan overview:

Applicable objects: Institutional clients who can operate in the electronic trading and futures markets at the same time.

Program goal: to obtain low-risk profits.

Operation direction: two-way operation;

Basic operation method: perform equal amounts of buying and selling operations in two markets at the same time, and make profits by taking advantage of the price difference changes of different contracts in the two markets. .

Principle introduction: Cross-market arbitrage refers to buying (or selling) a certain commodity contract in a certain delivery month on an exchange and selling (or buying) on ??another exchange at the same time. Contracts of the same commodity in the same delivery month, in order to profit from the contracts in hand in the forward and forward contract trading markets at favorable times.

2. Simulation operation example:

A steel trading company opened trading accounts in two rebar bulk trading markets in Shanghai at the same time. By observing the contracts of the two, it was found that the two The physical objects of the traded contracts are basically the same, and the price trends of the two 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 30 yuan per ton: When one market price is 30 yuan higher than the other market price: buy the market forward contract with a lower price and sell the market forward contract with a higher price; vice versa. : Buy high-priced contracts and buy and sell low-priced contracts;

Profit per ton for the above operations: 330=60 yuan/ton

3. Cross-market arbitrage operation method of a steel trading company< /p>

Cross-market arbitrage operation method

Determination of contract price difference range

1. Determine the two contracts that can be used for arbitrage operations.

2. Track the price difference between A’s bulk market and B’s bulk market

3. Based on the price trends of the two markets, while calculating delivery costs, transportation costs, inventory costs and other expenses, determine Reasonable range of price difference within a certain period of time:

Price difference range: upper limit A→lower limit B

Based on the above judgment, the following operation plan is formulated

Price range

Operation plan

The price difference between the two contracts is close to or exceeds the upper limit A

Sell contract A and buy an equal amount of contract B at the same time.

The price difference between the two contracts is close to or exceeds the lower limit B

Buy (close) contract A and sell (close) an equal amount of contract B at the same time.

Explanation: Contract price difference

Virtual inventory ratio = virtual inventory quantity/company’s maximum inventory quantity

Source: Shanghai Zhonggu Steel Electronic Trading Market, mentioned above Some tables are not displayed. To view the full text, you can go directly to their website