From the perspective of global derivatives market, corn options are in the forefront of agricultural options trading activities. According to FIA statistics, the CBOT corn option trading volume in the first half of the year was 20 145 16380 lots, accounting for 26% of the target futures trading volume. The listing of corn options in Dashang will play an important role in serving agriculture, countryside and farmers and optimizing hedging tools.
Judging from the historical volatility, the volatility of corn futures has been fluctuating at a low level since 17. Based on the continuous calculation of the main force of corn futures, the historical volatility of corn futures on the 20th, 30th and 60th day of 20 19+ 15 is 10.82% and 12.36% respectively. According to the statistical data from 20 18 to now, the fluctuation range of 30-day historical volatility of corn futures is 4.8% and 23.3%, and the median is around 10. 18%, so the current volatility level is in a relatively moderate range.
After the listing of corn options, the implied volatility pricing materials are more in line with the historical volatility level. From the experience of other varieties, it is more likely that the implied volatility of C 1905 is close to the historical volatility of 30-60 days. At present, the volatility of corn tends to weaken, the short-term supply and demand pattern is loose, and it is difficult to improve under the condition of weak fluctuation of corn futures price. It is estimated that the implied volatility of corn option 1905 contract is in the range of 13% to 15%, which is reasonable, overestimates or produces strategic space for selling volatility.
Capital proposal
Pay attention to the fluctuating trading opportunities of corn options in the initial stage of listing, and focus on the idea of shorting rallies and fluctuating. If the implied volatility of options is relatively overvalued relative to the historical volatility, we can choose the timing layout to sell the cross-volatility neutral strategy.
At present, the corn supply is sufficient, the temporary storage of corn will be further increased, and the corn futures price will continue to run weakly in the short term. It is suggested that the C 1905 contract should focus on the bear market spread strategy of put options. In the long run, with the further destocking of temporary storage corn, the supply and demand pattern of corn will tighten in the future, and the fluctuation of corn options is likely to get rid of the current low pattern and usher in the upward movement of the structural fluctuation center.
Risk warning
Adverse effects of weather conditions, policies, macro-economy, etc.
I. Introduction
From the perspective of global derivatives market, corn option is in the forefront of agricultural product option trading activities. According to FIA statistics, there are 2014,516,380 lots of CBOT corn options, accounting for 26% of the target futures trading volume, and CBOT soybean meal options are 2,080,954 lots, accounting for 65,438 lots. In the same period, Dashang sold soybean meal options of 56026 1 1 lot, accounting for 5% of the relative target, and held positions of 28531/lot, accounting for 13% of the relative target. The market activity of soybean meal options rose rapidly at 20 18. 18 turnover increased by 440% and positions increased by 163% year-on-year. The domestic option market is developing rapidly, and more options will be introduced on 20 19. As one of the first agricultural options listed this year, corn option is of great significance: first, corn option can provide a more market-oriented way to serve "agriculture, countryside and farmers", for example, by subsidizing farmers' option premium, while ensuring farmers' income level, maintaining market-oriented pricing of commodities; Secondly, with its flexible combination strategy, options can provide diversified hedging tools for feed, processing trade and other related industrial chains, and using options to protect positions under the base price trading mode can reduce the risk of spot pricing. For option investors, the listing of more options will bring more trading opportunities, and will gradually open up the space for cross-variety strategy of options.
Second, the introduction of corn option contract rules.
On the whole, there is little difference between the corn option contract design and soybean meal option design of Dashang Institute. The object of corn option contract is corn futures contract, and the trading unit is 1 lot (10 ton) corn futures contract. In terms of contract month, the option contract month is the same as the underlying futures, that is,1/3/5/7/9/1month contract. The last trading day of the option contract is the fifth trading day one month before the delivery month of the underlying futures contract, and the maturity date of the underlying futures is the 10 trading day of the contract month, which is the same as the soybean meal option. The minimum price change unit is 0.5 yuan/ton, and the minimum price change unit of futures is 1 yuan/ton, mainly considering that the theoretical price change of options is about half that of futures.
The exercise price setting covers the price range corresponding to the settlement price fluctuation of corn futures contract in the previous trading day of 1.5 times the daily limit, and the range of exercise price between 1 1,000 yuan/ton and 3,000 yuan/ton is 20 yuan/ton. The price limit of options is the same as that of the underlying futures. The price limit of corn futures is 4%. For example, the settlement price of C 1905 is 18 10/ ton, and the settlement price of C 1905 call option contract in a certain line is 100/ ton, and the price limit of options is/.
The exercise method of corn option is American, and the buyer of the option can exercise it on the expiration date and one trading day before the expiration date. If the buyer of the option fails to exercise the right, the hypothetical option will be invalid on the last trading day, while the actual option will be exercised automatically after the closing, in which the hypothetical/actual value of the option is judged based on the futures settlement price on the last trading day. Option sellers may passively execute, call options sellers passively execute and establish short positions, and put options sellers actively execute and establish long positions. Judging from the exercise rate of soybean meal options, as of the end of April of 20 18, according to the data of Dashang Institute, the cumulative exercise amount of soybean meal options was only 4 10000 lots, mainly in the five trading days before the expiration of options, of which 2,426 lots (accounting for 16%) were exercised before the expiration of M 1805 contracts.
Third, volatility analysis
Since 17, the volatility of corn futures is relatively low. Based on the continuous calculation of the main force of corn futures, the historical volatility of corn futures 20 19 15 is 10.82% on the 20th, 12.36% on the 30th and 65438 on the 60th. According to the statistical data from 20 18 to now, the fluctuation range of 30-day historical volatility of corn futures is 4.8% and 23.3%, and the median is around 10. 18%, so the current volatility level is in a relatively moderate range. 15- 16 The 30-day historical volatility of corn broke through the high level of 100%. In addition to the sharp drop in corn prices caused by the temporary storage reform, there is still a huge discount on the contract next month, and there is a big gap in the continuous price of the main force, which leads to a significant increase in volatility.
Judging from the trend of implied volatility of soybean meal options in Dashang Institute, the implied volatility of soybean meal is highly consistent with the historical volatility (30th), and the implied volatility of major events and inflection points has a certain leading role, with a width of 10%-30% since listing. Different from corn, the volatility of DCE soybean meal and CBOT soybean meal is highly correlated before 20 18, and the implied volatility trend of CBOT soybean meal is relatively advanced, which can be used as an important reference for option trading of domestic soybean meal. However, with the sharp decline in the quantity of imported soybeans in the United States this year, the trend of DCE soybean meal and CBOT soybean meal deviates, and the guiding significance of foreign soybean meal fluctuation trading decreases.
After the listing of corn options, the implied volatility pricing materials are more in line with the historical volatility level. From the experience of other varieties, it is more likely that the implied volatility of C 1905 is close to the historical volatility of 30-60 days. At present, the volatility of corn tends to weaken, and it is difficult to improve in the case of loose short-term supply and demand pattern and corn futures price returning to fundamental weakness. It is estimated that the implied volatility of corn option 1905 contract is in the range of 13% to 15%, which is reasonable, overestimates or produces strategic space for selling volatility.
Four. capital proposals
Pay attention to the fluctuating trading opportunities of corn options in the initial stage of listing, and focus on the idea of shorting rallies and fluctuating. If the implied volatility of options is relatively overvalued relative to the historical volatility, we can choose the timing layout to sell the cross-volatility neutral strategy.
At present, the corn supply is sufficient, the temporary storage of corn will be further increased, and the corn futures price will continue to run weakly in the short term. It is suggested that the C 1905 contract should focus on the bear market spread strategy of put options. In the long run, with the further destocking of temporary storage corn, the supply and demand pattern of corn will tighten in the future, and the fluctuation of corn options is likely to get rid of the current low pattern and usher in the upward movement of the structural fluctuation center.
Verb (abbreviation for verb) risk warning
Adverse effects of weather conditions, policies, macro-economy, etc.