Hedging in 2014 "" Wisconsin Crop Management Conference & Agri-Industry Showcase 01/16/2014" Fred Seamon Senior Director CME Group"
|
|
- Job Rogers
- 5 years ago
- Views:
Transcription
1 Hedging in 2014 Wisconsin Crop Management Conference & Agri-Industry Showcase 01/16/2014 Fred Seamon Senior Director CME Group
2 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. Swaps trading is not suitable for all investors, involves the risk of loss and should only be undertaken by investors who are ECPs within the meaning of section 1(a)12 of the Commodity Exchange Act. Swaps are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a swaps position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. Any research views expressed are those of the individual author and do not necessarily represent the views of the CME Group or its affiliates. CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc. NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc. COMEX is a trademark of Commodity Exchange, Inc. KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official Exchange rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 2013 CME Group. All rights reserved. 2
3 CHANGE A transformation or modification (Source: Dictionary.com) Change has a considerable psychological impact on the human mind. To the fearful it is threatening because it means that things may get worse. To the hopeful it is encouraging because things may get better. To the confident it is inspiring because the challenge exists to make things better. -- King Whitney, Jr. Nothing endures but change. -- Heraclitus, from Diogenes Laertius, Lives of Eminent Philosophers! (540 BC BC) 3
4 CHANGE A transformation or modification (Source: Dictionary.com) Image From Consumerwarningnetwork.com Image From Apple.com 4
5 CHANGE A transformation or modification (Source: Dictionary.com) Image from swatek.com Image from fueladditivebenefits.com Image from newcarsinfo.com Image from JohnDeere.com 5
6 CHANGE A transformation or modification (Source: Dictionary.com) 6
7 Outline - Change in Market Size & Liquidity - Change in Market Venue Where We Trade - Change in Market Make-up Who Trades - Change in Price Discovery Contract Performance - Change Additional Hedging Tools - What Does It Mean For A Hedger In
8 Market Size & Liquidity
9 Corn and Wheat Futures Volume Growth 9
10 Soy Complex Futures Volume Growth 10
11 Grain and Oilseed Futures Open Interest Growth Corn, Soybean, and Wheat Open Interest 3.5 Corn Soybeans Wheat Millions of Contracts Jan-85 Aug-85 Mar-86 Oct-86 May-87 Dec-87 Jul-88 Feb-89 Sep-89 Apr-90 Nov-90 Jun-91 Jan-92 Aug-92 Mar-93 Oct-93 May-94 Dec-94 Jul-95 Feb-96 Sep-96 Apr-97 Nov-97 Jun-98 Jan-99 Aug-99 Mar-00 Oct-00 May-01 Dec-01 Jul-02 Feb-03 Sep-03 Apr-04 Nov-04 Jun-05 Jan-06 Aug-06 Mar-07 Oct-07 May-08 Dec-08 Jul-09 Feb-10 Sep-10 Apr-11 Nov-11 Jun-12 Jan-13 Aug-13 11
12 Grain and Oilseed Options Volume Growth 12
13 Market Venue
14 Corn and Wheat Futures Electronic Trading Growth 14
15 Soybean Complex Futures Electronic Trading Growth 15
16 Corn and Wheat Options Electronic Trading Growth 16
17 Soybean Complex Options Electronic Trading Growth 17
18 Market Make-up
19 Speculators are Necessary Liquidity is, in effect, the hostess gift that speculators bring to every market party, and without the capital poured into energy markets by institutional investors, prices may well be far higher and more volatile than they are. -- Philip K. Verleger Owner and President of PKVerleger LLC 19
20 Speculators are Necessary The warehousemen are large scale operators who have skill and money. Only the professional speculators are equipped to oppose them; the effective competition in the storage market is provided by the large scale speculators. -- Tom Hieronymus Professor Emeritus, The Office for Futures and Options Research, The University of Illinois 20
21 Market Make-Up - Corn 60% Percentage of Open Interest by Category Corn % % 2.0 Percentage 30% 20% Open Interest in Millions 10% 0.5 0% 0.0 Non-Reportable Non-Commercial Commercial Index OI 21
22 Market Make-Up - Wheat 60% Percentage of Open Interest by Category CBOT Wheat % Percentage 40% 30% 20% 10% Open Interest in Thousands Non-Reportable Non-Commercial Commercial Index OI 0% 0 22
23 Market Make-Up - Soybeans 60% Percentage of Open Interest by Category Soybeans % 1.2 Percentage 40% 30% 20% Open Interest in Millions 10% 0.2 0% Non-Reportable Non-Commercial Commercial Index OI
24 Index Fund Net Long Positions Have Remained Steady in Corn Futures Market Index Net Long (Short) Positions as % of OI 60% Corn Nearby Price Cents per Bushel 900 Though index fund positions as a percentage of open interest remained constant at around 20% over the last five years, prices increased 48%. Index Net Long Positions 50% 40% 30% 20% 10% Cents per Bushel Source: 0% Jan-09 Index Net Long Positions as % of Open Interest Nearby Corn Settlements 0 Dec-13 24
25 Index Fund Net Long Positions Have Remained Steady in Wheat Futures Market Index Net Long (Short) Positions as % of OI 70% Wheat Nearby Price Cents per Bushel 1400 Though index fund positions as a percentage of open interest remained steady over the last four years, prices have been consolidating for most of this time period. index Net Long Positions 60% 50% 40% 30% 20% 10% Cents per Bushel Source: 0% Jan-09 Index Net Long Positions as % of Open Interest Nearby Wheat Settlements 0 Dec-13 25
26 Index Fund Net Long Positions Have Declined in Soybean Futures Market Index Net Long (Short) Positions as % of OI Soybeans Nearby Price Cents per Bushel 60% 2000 Index fund positions as a percentage of open interest has declined over the last four years while prices increased. Index Net Long Positions 50% 40% 30% 20% 10% Cents per Bushel Source: 0% Jan-09 Index Net Long Positions as % of Open Interest Nearby Soybean Settlements 0 Dec-13 26
27 CME Group Most attractive, valuable, diverse franchise in exchange sector Combination of unique assets provide competitive advantages - Balanced portfolio of diverse and benchmark products - Industry-leading trading platform, flexible architecture - World-class clearing, risk management expertise Additional growth opportunities - Early stages of globalization - Over-the-counter (OTC) and exchange-traded markets converging - Non-transaction based businesses Strong financial characteristics - Significant operating leverage - Unique variable dividend philosophy supplementing regular dividend - $1.2B in dividends paid in
28 Do Speculators Cause Distortions? Irwin, Scott H., Sanders, Dwight R., and Merrin, Robert P. Devil or Angel? The Role of Speculation in the Recent Commodity Price Boom (and Bust) Journal of Agricultural & Applied Economics, 41(2009): There is little evidence that the 2008 boom and bust in commodity prices was driven by a speculative bubble. Economic fundamentals provide a better explanation for the movements in commodity prices. The main factors driving prices up in the energy markets included strong demand from China, India, and other developing nations, a leveling out of crude oil production, a decrease in the responsiveness of consumers to price increases, and U.S. monetary policy. In the grain markets, factors driving up prices also included demand growth from developing nations and U.S. monetary policy, as well as the diversion of row crops to bio-fuel production and weather-related shortfalls. Demand factors reversed in quick order doe to financial market meltdown and world-wide recession, leading to large price drops. The complex interplay between these factors and how they impact commodity prices is often difficult to grasp in real-time and speculators have historically provided a convenient scapegoat. 28
29 Market Performance
30 Grain Products Historical Volatility Monthly Historical Volatility Percent Volatility Corn Wheat Soybeans
31 20-Day Moving Average Correlation on Price Changes Between Nearby Corn Futures and Spot Gulf Cash Prices Price Difference Correlation 1989 to Apr 2011: 0.86 Price Difference Correlation 1989 to Jan 2008: 0.84 Price Difference Correlation 2008 to Sep 2013:
32 20-Day Moving Average Correlation on Price Changes Between Nearby Soybean Futures and Spot Gulf Cash Prices Price Difference Correla.on 1989 to Apr 2011: 0.92 Price Difference Correla.on 1989 to Jan 2008: 0.92 Price Difference Correla.on 2008 to Sep 2013:
33 20-Day Moving Average Correlation on Price Changes Between Nearby Wheat Futures and Spot Gulf Cash Prices Price Difference Correla.on 1989 to Apr 2011: 0.88 Price Difference Correla.on 1989 to Jan 2008: 0.87 Price Difference Correla.on 2008 to Sep 2013:
34 Basis Levels at Selected Spot Locations 2013 Sep Corn Chicago Cash Gulf Cash N. Illinois Cash Central IL Cash 150 Price (cents/bu.) /1/13 5/8/13 5/15/13 5/22/13 5/29/13 6/5/13 6/12/13 6/19/13 6/26/13 7/3/13 7/10/13 7/17/13 7/24/13 7/31/13 8/7/13 8/14/13 8/21/13 8/28/13 9/4/13 34
35 Basis Levels at Selected Spot Locations 2013 Sep Wheat /1/13 5/8/13 5/15/13 5/22/13 5/29/13 6/5/13 6/12/13 6/19/13 6/26/13 7/3/13 7/10/13 7/17/13 7/24/13 7/31/13 8/7/13 8/14/13 8/21/13 Price (cents/bu.) 8/28/13 9/4/13 9/11/13 Chicago St. Louis Miss River Mt Vernon Ohio River Gulf Toledo Memphis Miss River 35
36 Basis Levels at Selected Spot Locations 2013 Sep Soybeans Price (cents/bu.) Chicago Cash Gulf Cash N. Illinois Cash Central IL Cash 36
37 New Hedging Tools
38 Product Innovation CME Group has enhanced Agricultural option suite by successfully launching innovative option products over recent years: - Calendar Spread Options (CSOs) - Weekly Options - Short-Dated New Crop Options (SDNCO) 38
39 Short-Dated New Crop Options Definition: - The Short-Dated Options on the deferred (new crop) months are early expiring options that reference the December Corn Contract, November Soybean Contract and July Wheat Contract Key Benefits: - Cost-effective: lower premiums due to lesser time value - Facilitate hedging early in the planting and growing season - Manage risk during specific windows of the growing season at reduced costs - Useful for trading around key USDA reports - Allow Greek sensitivity hedging - Can be used to hedge old/new crop Calendar Spread Options (CSOs) positions - Arbitrage opportunities between outrights, CSOs and Short-Dated options 39
40 Weekly options on Corn, Soybean, and Wheat futures launched on May 23, Weekly options on Soybean Meal and Soybean Oil launched on September 26, Since launch through the end of Nov 2013, more than 1.52 million contracts have traded YTD ADV=2,102. Corn is the most active, accounts for 86%, Soybean 12%, wheat/ soymeal 2%. Nov 2013 total volume=52,035, 36% higher than Nov Record high monthly ADV 5,668 was set in Aug 2012, amid the drought. Reduce hedging costs due to low time value, thus low premium. Used to hedge short term events such as USDA crop reports and weather forecasts during growing season. Market familiarity leading to steady volume almost every day. Weekly Options 40
41 Calendar Spread Options (CSOs) CSOs for Corn, Soybeans, Wheat, Soybean Meal and Soybean Oil launched in June 2009 Since launch through the end of Nov 2013, more than 1.16 million contracts traded YTD ADV = 1,520. Nov 2013 total volume=5,812, 45% lower than Nov A new tool to hedge grain inventory and futures spread risk, especially old/new crop. CSOs are sensitive only to the value and volatility of the spread itself, rather than the price of the underlying commodity. More efficient and precise than combining options on two different months in an effort to replicate the spread. 41
42 Ramifications
43 What does it all mean to the hedger in 2014? - Prices are higher and risks are greater than ever. - Futures and Options markets are bigger, deeper, and more liquid than ever. - Markets are more heavily regulated. - Futures trading is more likely to take place on the CME Globex Electronic Trading Platform, typically at less cost than in the past. - You will likely be trading in a market with greater price volatility compared to the past, which also implies greater margin requirements. - The speculator assuming your risk is more likely to be an electronic proprietary trading firm rather than a floor local. - Hedging effectiveness is actually improved in the modern market environment with higher correlations and strong convergence. - Good Luck; Embrace Change; It s a Great Time to Work in Agriculture. 43
44 Thank you
45
Agricultural Options. June 2018
Agricultural Options June 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Grain & Oilseed markets experienced large ranges in implied volatility and skew throughout June Record percent of volume
More informationAgricultural Options. March 2018
Agricultural Options March 2018 CME GROUP INTERNAL Ag Option Product Suite Highlights Implied volatility showing large ranges during the first quarter KC Wheat CSO s have a record volume month Uptick in
More informationAgricultural Options. November CME Group. All rights reserved.
Agricultural Options November 2018 Ag Option Product Suite Highlights Livestock spread volume on CME Globex hit an all-time high of 35%, led by verticals, 3-ways and delta-hedged options Weekly options
More informationAgricultural Options. September CME Group. All rights reserved.
Agricultural Options September 2018 Ag Option Product Suite Highlights Wheat complex continues to show strong volume with HRW implied volatility trading 1% higher than SRW. HRW/SRW Wheat call skew showing
More informationMGEX CBOT Wheat Spread Options. Product Overview
MGEX CBOT Wheat Spread Options Product Overview May 7, 2012 MGEX-CBOT Wheat Spread Options Overview - MGEX: Hard Red Spring Wheat futures listed on the Minneapolis Grain Exchange, Inc. - CBOT: Soft Red
More informationAGRICULTURAL RISK MANAGEMENT. Global Grain Geneva November 12, 2013
AGRICULTURAL RISK MANAGEMENT Global Grain Geneva November 12, 2013 Managing Price Risk is Easier to Swallow Than THE ALTERNATIVE Is Your Business Protected Is Your Business Protected Is Your Business Protected
More informationCME Group and the Benefits of the Tighter WTI Specifications
CME Group and the Benefits of the Tighter WTI Specifications Daniel Brusstar Denver, May 23, 2018 COQA CCQTA Joint Meeting Agenda Update on the Phase-in of the additional WTI tests The benefits of adopting
More informationBloomberg Analytics for CME Swap Clearing
Bloomberg Analytics for CME Swap Clearing CME-Specific USD Valuation Curve CME Cleared Swaptions Initial Margin Calculations 2016 CME Group. All rights reserved. CME-Specific USD Valuation Curve 2016 CME
More informationIntroduction to Risk Management CME Group. All rights reserved.
Introduction to Risk Management What does risk look like? It s different for every industry. It s different for every industry. It s different for every industry. We bring those who want to manage risk
More informationAGRICULTURAL PRODUCTS. Soybean Crush Reference Guide
AGRICULTURAL PRODUCTS Soybean Crush Reference Guide As the world s largest and most diverse derivatives marketplace, CME Group (cmegroup.com) is where the world comes to manage risk. CME Group exchanges
More informationVolatility Jam Session
Volatility Jam Session Aligning Options Strategies with Volatility Dave Lerman Sr. Director, Marketing/Education CME Group David.lerman@cmegroup.com 312-648-3721 Disclaimer Futures trading is not suitable
More informationMonthly Agricultural Review
AGRICULTURE June 214 Monthly Agricultural Review A Global Trading Summary of Grain, Oilseed and Livestock Markets» Highlights» Futures» Options How the world advances Monthly Agricultural Review AGRICULTURAL
More informationRule 539.C. Crossing Protocols on CME Globex
Rule 539.C. Crossing Protocols on CME Globex Introduction of the Committed Cross (C-Cross) for Financial Options (Equity, FX, & Interest Rate) 2016 CME Group. All rights reserved. Crossing Protocols on
More informationHedging FX Intertek. ACT Webinar, 16 th April
Hedging FX Intertek ACT Webinar, 16 th April 2015 1 www.intertek.com Who is Intertek? We are Electrical engineers Chemists Mechanical engineers Medical doctors Consultants Biologists Inspectors Geologists
More informationPortfolio Margining Benefits
Portfolio Margining Benefits Unparalleled Capital Efficiencies for Interest Rate Swap Portfolios Portfolio Margining IRS and CME Group Futures Unparalleled Margin Efficiencies for a Capital Constrained
More informationDo you have what it takes to trade CME Group Product from Mexico? South to North Connectivity
Do you have what it takes to trade CME Group Product from Mexico? South to North Connectivity December 9, 2013 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss.
More informationNew Paradigms in Marketing: Are Speculators or the Fundamentals Driving Prices? Scott H. Irwin
New Paradigms in Marketing: Are Speculators or the Fundamentals Driving Prices? Scott H. Irwin Outline of Presentation Role of speculation in the recent commodity price boom Changing fundamentals Convergence
More informationInvoice Swap Spreads and Portfolio Margining Benefits
Invoice Swap Spreads and Portfolio Margining Benefits Unparalleled Capital Efficiencies for Interest Rate Swap Portfolios 2016 CME Group. All rights reserved. Recent Developments in Packaged Trades Between
More informationCBOT Invoice Swap Spreads
CBOT Invoice Swap Spreads New enhancements & efficiencies coming June 6, 2016 CBOT Invoice Swap Spread Update and Enhancements On June 6, CME will offer new functionality for CBOT listed invoice spreads
More informationCME Group Market Regulation. Update on Revisions to Rule 538 and Associated Regulatory Guidance
CME Group Market Regulation Update on Revisions to Rule 538 and Associated Regulatory Guidance October 13, 2016 Agenda 1 Introduction 2 What is an EFRP? 3 Description of Recent Changes and Review of Unchanged
More informationIs it time for a boneless beef trimmings derivative contract? David Farley 1 st March 2012
Is it time for a boneless beef trimmings derivative contract? David Farley 1 st March 2012 Why does AAco care? 680,000 head of cattle Substantial price risk over which AAco has limited ability to take
More informationProbability Analytics and Transactions Costs in the Era of Event Risk Blu Putnam, Chief Economist CME Group June 2017
Probability Analytics and Transactions Costs in the Era of Event Risk Blu Putnam, Chief Economist CME Group June 2017 2017 CME Group. All rights reserved. Investment advice is neither given nor intended
More informationUkrainian Grain Congress Black Sea Wheat Futures
Ukrainian Grain Congress 2011 Black Sea Wheat Futures Kiev - October 10, 2011 Jeffry Kuijpers DISCLAIMER Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a
More informationFundamental Factors Affecting Agricultural and Other Commodities. Research & Product Development Updated July 11, 2008
Fundamental Factors Affecting Agricultural and Other Commodities Research & Product Development Updated July 11, 2008 Outline Review of key supply and demand factors affecting commodity markets World stocks-to-use
More informationACE 427 Spring Lecture 6. by Professor Scott H. Irwin
ACE 427 Spring 2013 Lecture 6 Forecasting Crop Prices with Futures Prices by Professor Scott H. Irwin Required Reading: Schwager, J.D. Ch. 2: For Beginners Only. Schwager on Futures: Fundamental Analysis,
More informationCrossing Protocols on CME Globex
Crossing Protocols on CME Globex 2016 Introduction of the Committed Cross (C-Cross) for Financial Products (Equity, FX, & Interest Rate) Learn more at www.cmegroup.com/committedcross 2016 CME Group. All
More informationClearing Overview. Jason Silverstein, Executive Director & Associate General Counsel October 25, CME Group. All rights reserved.
Clearing Overview Jason Silverstein, Executive Director & Associate General Counsel October 25, 2016 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures
More informationIssue. Comments. 1 While the CBOT is now part of the CME Group, Inc., the CBOT remains the self-regulatory organization that is
Comments on Permanent Senate Subcommittee on Investigations Report Excessive Speculation in the Wheat Market Scott H. Irwin, Darrel L. Good, Philip Garcia, and Eugene L. Kunda Department of Agricultural
More informationTop NYMEX Crude Oil Options Daily Market Update
Options Volume and Open Interest: Last 5 Trade Days Options Volume and Open Interest: Last 12 Months Trade Date Globex ClearPort Pit Total Volume % Volume % Volume % Volume 11/13/2017 141,096 71% 58,191
More informationOTC SOFR Swaps Clearing
OTC SOFR Swaps Clearing April 17, 2018 OTC CLEARING THE WAY FORWARD 2018 CME Group. All rights reserved. 1 CME SOFR Offering The Secured Overnight Funding Rate (SOFR) What is SOFR? Endorsed by the Alternative
More information2015 CME Group. All rights reserved.
Ultra 10-Year US Treasury & Options Launching January 11, 2016 Based on Strong Client Demand Capital constraints have reduced liquidity in the cash market, driving strong client demand for and Options
More informationRecent Convergence Performance of CBOT Corn, Soybean, and Wheat Futures Contracts
The magazine of food, farm, and resource issues A publication of the American Agricultural Economics Association Recent Convergence Performance of CBOT Corn, Soybean, and Wheat Futures Contracts Scott
More informationCommand the Curve: Treasury Futures and Options for the Active Trader June 26, 2018
Command the Curve: Treasury Futures and Options for the Active Trader June 26, 2018 David Lerman Sr. Director, Education CME Group david.lerman@cmegroup.com Market Development Historical developments Birth
More informationA Global Trading Summary of Interest Rate Markets
first Quarter 2011 QUARTERly INTEREST RATE Update A Global Trading Summary of Interest Rate Markets Highlights Volume Credit Spreads Deliveries Cash Market Penetration Foreign Holdings of Treasury Securities
More informationHedging Tools for the Ferrous Metals Marketplace. Young-Jin (Jin) Chang Director Research & Product Development March 11, 2013
Hedging Tools for the Ferrous Metals Marketplace Young-Jin (Jin) Chang Director Research & Product Development March 11, 2013 CME Group: The Leader in a Dynamic Industry A diverse and world leading derivatives
More informationFinding Opportunities in a New Interest Rate Environment
INTEREST RATES Finding Opportunities in a New Interest Rate Environment The Interest Rate market is experiencing significant volatility in 2015, as market participants are anticipating when the FOMC will
More informationOpen Your Mind & Sharpen Your Market Techniques
Open Your Mind & Sharpen Your Market Techniques Timothy Morge, CTA and President Blackthorne Capital, Inc. Internet Presentation Sponsored by Interactive Brokers May 8, 2014 www.marketgeometry.com www.medianline.com
More informationCBOT. Fertilizer Swaps (OTC) Urea UAN DAP. $ per ton. Jul 08. Oct 06. Oct 09. Aug 06. Aug 07. Apr 09. Apr 07 Jun 07. May 08. May 11. May 10.
CBOT Fertilizer Swaps Frequently Asked Questio ns October 2012 1. On which fertilizer markets will CBOT fertilizer swaps be listed? CME Group will initially offer four fertilizer swaps contracts, listed
More informationCME Group Interest Rate Options
CME Group Interest Rate Options January 2018 Dave Reif Interest Rate Business Line Management cmegroup.com +1 312 648 3839 Interest Rate Options Overview Strong electronic growth has expanded access and
More informationHedging Potential for MGEX Soft Red Winter Wheat Index (SRWI) Futures
Hedging Potential for MGEX Soft Red Winter Wheat Index (SRWI) Futures Introduction In December 2003, MGEX launched futures and options that will settle financially to the Soft Red Winter Wheat Index (SRWI),
More information2017 CME Group. All rights reserved.
Most Successful Product Launch in CME Group History Fulfilled by physical delivery of original-issue 10-year Treasury notes with terms to maturity between 9-Yrs 5 Mos and 10-Yrs (on-the run, old, and double
More informationMichael V. Dunn Commissioner Commodity Futures Trading Commission. Agricultural Outlook Forum February 24,
Michael V. Dunn Commissioner Commodity Futures Trading Commission Agricultural Outlook Forum February 24, 2011 1 Commodity Futures Trading Commission Mission Statement To Protect Market Users and the Public
More informationImproving Your Crop Marketing Skills: Basis, Cost of Ownership, and Market Carry
Improving Your Crop Marketing Skills: Basis, Cost of Ownership, and Market Carry Nathan Thompson & James Mintert Purdue Center for Commercial Agriculture Many Different Ways to Price Grain Today 1) Spot
More informationFOURTH QUARTER QUARTERly FX. A Global Trading Summary of FX Futures and Options. Highlights Futures Options
FOURTH QUARTER 2010 QUARTERly FX Update A Global Trading Summary of FX Futures and Options Highlights Futures Options As the world s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com)
More information2017 CME Group. All rights reserved.
Most Successful Product Launch in CME Group History Fulfilled by physical delivery of original-issue 10-year Treasury notes with terms to maturity between 9-Yrs 5Mos and 10-Yrs (on-the run, old, and double
More informationVolatility Monitor. 3 rd Quarter 2012 OCTOBER 11, John W. Labuszewski
Volatility Monitor 3 rd Quarter 2012 OCTOBER 11, 2012 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com Volatility is one of several key inputs into mathematical
More informationSoybeans face make or break moment Futures need a two-fer to avoid losses By Bryce Knorr, senior grain market analyst
Soybeans face make or break moment Futures need a two-fer to avoid losses By Bryce Knorr, senior grain market analyst A year ago USDA shocked the market by cutting its forecast of soybean production, helping
More informationFirst Quarter Quarterly FX Update. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances
FX First Quarter 2011 Quarterly FX Update A Global Trading Summary of FX Futures and Options»» Highlights»» Futures»» Options How the world advances As the world s leading and most diverse derivatives
More informationRelationship-Based Trading in CME Group Agricultural Markets
Relationship-Based Trading in CME Group Agricultural Markets November 15th, 2017 Bob Sniegowski Executive Director, Market Regulation Steve Stasys Director, Agricultural Options Agenda Introduction Block
More informationCME Global Repository Service (GRS)
CME Global Repository Service (GRS) 27 th April 2018 Jonathan Thursby, Global Head, GRS 2018 CME Group. All rights reserved. Founded in 1848 CME World s leading derivatives marketplace handling 3 billion
More informationThird Quarter Quarterly FX Review. A Global Trading Summary of FX Futures and Options Highlights Futures Options. How the world advances
FX Third Quarter 212 Quarterly FX Review A Global Trading Summary of FX Futures and Options»» Highlights»» Futures»» Options How the world advances As the world s leading and most diverse derivatives marketplace,
More informationMonthly Stock Index Review
EQUITY October 2011 Monthly Stock Index Review A Global Trading Summary of Stock Index Futures and Options» Highlights» Stats At-a-Glance» ADVs» 20-Day Historical Volatilities» Index Sector Weightings»
More informationU.S. Treasury Futures 1.0. Agenda. June Foundational Concepts. 5 Review and Q&A. 4 Measuring risk, BPV, Hedge Ratio (HR)
U.S. Treasury Futures 1.0 Foundational Concepts June 2017 2017 CME Group. All rights reserved. Agenda 1 Delivery Process 2 Treasury Basis 3 Cheapest-to-deliver (CTD) 4 Measuring risk, BPV, Hedge Ratio
More informationU.S. Treasury Futures 1.0
U.S. Treasury Futures 1.0 Foundational Concepts January 2018 2018 CME Group. All rights reserved. Agenda 1 Delivery Process 2 Treasury Basis 3 Cheapest-to-deliver (CTD) 4 Measuring risk, BPV, Hedge Ratio
More informationMETALS Products. Where the metals market
METALS Products Where the metals market manages risk. In a world of increasing volatility, customers around the globe rely on CME Group as their premier source for managing risk across all major asset
More informationMonthly Metals Review
METALS August 213 Monthly Metals Review A Global Trading Summary of Metals Markets» Highlights» Futures» Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS August 213 Records:
More informationPace of the Roll Monitor
STOCK INDEXES Pace of the Monitor 2nd Quarter 2012 JUNE 22, 2012 John W. Labuszewski John E. Nyhoff Richard Co Managing Director Executive Director Executive Director Research & Product Development 312-466-7469
More informationFutures Contract Spread Opportunies
Futures Contract Spread Opportunies David Gibbs September 2011 Background & fundamentals Spread Trading In futures trading the simultaneous buying and selling of two contracts against each other is known
More informationMonthly Agricultural Review
AGRICULTURE February 216 Monthly Agricultural Review A Global Trading Summary of Grain, Oilseed and Livestock Markets Highlights Futures Options How the world advances Monthly Agricultural Review AGRICULTURAL
More informationCME Group 3Q 2015 Earnings Conference Call
CME Group 3Q 2015 Earnings Conference Call October 29, 2015 Forward Looking Statements Statements in this presentation that are not historical facts are forward-looking statements. These statements are
More informationCME Direct 13.3 Release Notes. 24 Sept 2018
13.3 Release Notes 24 Sept 2018 Disclaimer Neither futures trading nor swaps trading are suitable for all investors, and each involves the risk of loss. Swaps trading should only be undertaken by investors
More informationCME Group 2Q 2009 Earnings Conference Call. July 23, 2009
CME Group 2Q 2009 Earnings Conference Call July 23, 2009 Forward-Looking Statements Statements in this press release that are not historical facts are forward-looking statements. These statements are not
More informationUS Treasury Classic Bond Futures Describing the Gap in the Delivery Basket & Presenting Potential Options to Address.
US Treasury Classic Bond Futures Describing the Gap in the Delivery Basket & Presenting Potential Options to Address November 2013 Agenda US Treasury Bond Futures Gap in Delivery Basket Potential Options
More information2018 Investment Symposium
2018 Investment Symposium Session 2A: Understanding U.S. Treasury Futures and Their Use as a Risk Management Tool Moderator: Warren Manners, FSA, MAAA Presenters: David Gibbs Agha Mizra SOA Antitrust Disclaimer
More informationTHIRD QUARTER 2010 QUARTERLY FX UPDATE. A Global Trading Summary of FX Futures and Options. Highlights Futures Options
THIRD QUARTER 2010 QUARTERLY FX UPDATE A Global Trading Summary of FX Futures and Options Highlights Futures Options As the world s leading and most diverse derivatives marketplace, CME Group (www.cmegroup.com)
More informationMonthly Metals Review
Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS October 216 Highlights: Average daily volume for October 216 COMEX metal (Gold, Silver and Copper) futures was 316,25 contracts, compared
More informationCleared OTC Credit at CME Security. Neutrality. Transparency.
Cleared OTC Credit at CME Security. Neutrality. Transparency. Contents Why CME for CDS Clearing? CDS Margin Model & Benefits Cleared OTC CDS Product Scope Client Clearing Reporting & Tools Next Steps and
More informationMonthly Metals Review
Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS November 216 Highlights: Average daily volume for November 216 COMEX metal (Gold, Silver and Copper) futures was 612,111 contracts,
More informationCME Bitcoin Futures The Basics
CME Bitcoin Futures The Basics January 2018 Dave Lerman Senior Director, Education CME Group David.lerman@cmegroup.com Disclaimer Neither futures trading nor swaps trading are suitable for all investors,
More informationMonthly Metals Review
Monthly Metals Review Monthly Metals Review METALS TRADING HIGHLIGHTS February 217 Highlights: Average daily volume for February 217 COMEX metal (Gold, Silver and Copper) futures was 449,987 contracts,
More informationOffering participants of the $48 billion U.S. dairy business a useful tool in managing the price risks inherent to this industry. Nov - 08.
Commodity products Dairy Futures and Options Offering participants of the $48 billion U.S. dairy business a useful tool in managing the price risks inherent to this industry. CLASS III MILK ELECTRONIC
More informationTrade Entry - Trade Management - Trade Exit The Best Things Come in Threes
Trade Entry - Trade Management - Trade Exit The Best Things Come in Threes Timothy Morge, CTA and President Blackthorne Capital, Inc. Sovereign Wealth Managers Internet Presentation Sponsored by Interactive
More informationNovember 4, 2011 Page 1 of 8
November 4, 2011 Page 1 of 8 Introduction The Capital Asset Pricing Model (CAPM) determines the theoretical rate of return an investor expects to obtain from investing in a financial asset. The model postulates
More information155, , ,000 95,000 75,000 55,000 35,000. Mar-10. Nov-04 Mar-05. Jul-04. Jul-03
Vol. 7, No. 237 / December 10, 2009 Market Comments Notice: On pages 2-6 we have included a special CME Executive Report on the launch of Live Cattle and Lean Hog Futures calendar spreads. These options
More informationCME Group 3Q 2013 Earnings Conference Call. November 4, 2013
CME Group 3Q 2013 Earnings Conference Call November 4, 2013 Forward-Looking Statements Statements in this presentation that are not historical facts are forward-looking statements. These statements are
More informationMonthly Energy Review
ENERGY February 216 Monthly Energy Review A Global Trading Summary of Energy Markets Highlights Futures Options How the world advances Monthly Energy Review ENERGY TRADING HIGHLIGHTS February 216 Average
More informationBasis: The price difference between the cash price at a specific location and the price of a specific futures contract.
Section I Chapter 8: Basis Learning objectives The relationship between cash and futures prices Basis patterns Basis in different regions Speculators trade price, hedgers trade basis Key terms Basis: The
More informationMonthly Agricultural Review
Monthly Agricultural Review Monthly Agricultural Review AGRICULTURAL TRADING HIGHLIGHTS September 216 Average daily volume for September 216 Grain and Oilseed futures was 653,245 contracts, compared with
More informationSwaptions Clearing Overview
Swaptions Clearing Overview Jack Callahan OTC Products Fateen Sharaby Clearing Solutions 2016 CME Group. All rights reserved 01 Contents Swaption Clearing Overview Benefits of Clearing Product Scope Data
More informationCME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE
CME FX Link LIQUIDITY, LINKED QUOTATION AND PRICING GUIDE CME FX Link: One CME Globex Spread, Connecting OTC FX and FX Futures Markets CME FX Link is a CME Globex basis spread between FX Futures and OTC
More informationShort-Term Interest Rate (STIR) Intercommodity Spreads on Globex. Including the Eurodollar Fed Funds Spread, and spreads involving SOFR Futures
Short-Term Interest Rate (STIR) Intercommodity Spreads on Globex Including the Eurodollar Fed Funds Spread, and spreads involving SOFR Futures CME Group Short Term Interest Rate Inter-Commodity Spreads
More informationMonthly Agricultural Review JUNE 2016
Monthly Agricultural Review JUNE 216 Monthly Agricultural Review AGRICULTURAL TRADING HIGHLIGHTS June 216 Average daily volume for June 216 Grain and Oilseed futures was 1,329,415 contracts, compared with
More informationInformed Storage: Understanding the Risks and Opportunities
Art Informed Storage: Understanding the Risks and Opportunities Randy Fortenbery School of Economic Sciences College of Agricultural, Human, and Natural Resource Sciences Washington State University The
More informationMonthly Metals Review
METALS January 216 Monthly Metals Review A Global Trading Summary of Metals Markets Highlights Futures Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS January 216 Highlights:
More informationLori Aldinger. Managing Director. Manager
STOCK INDEXES Unde ersta andin ng Equity EFRP Ps SEPTEMBER 3, 2013 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com Lori Aldinger Manager Research & Product
More informationInterest Rate Swaps: Risk Model CME Group. All rights reserved.
Interest Rate Swaps: Risk Model 2017 Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a
More informationMonthly Energy Review
ENERGY May 216 Monthly Energy Review A Global Trading Summary of Energy Markets Highlights Futures Options How the world advances Monthly Energy Review ENERGY TRADING HIGHLIGHTS May 216 Average daily volume
More informationCreating Forward-Starting Swaps with DSFs
INTEREST RATES Creating -Starting Swaps with s JULY 23, 2013 John W. Labuszewski Managing Director Research & Product Development 312-466-7469 jlab@cmegroup.com CME Group introduced its Deliverable Swap
More informationAGRICULTURAL PRODUCTS. Self-Study Guide to Hedging with Livestock Futures and Options
AGRICULTURAL PRODUCTS Self-Study Guide to Hedging with Livestock Futures and Options TABLE OF CONTENTS INTRODUCTION TO THE GUIDE 4 CHAPTER 1: OVERVIEW OF THE LIVESTOCK FUTURES MARKET 5 CHAPTER 2: FINANCIAL
More informationOTC SOFR Swaps Clearing
OTC SOFR Swaps Clearing Q4 2018 OTC CLEARING THE WAY FORWARD 1 CME SOFR Offering The Secured Overnight Funding Rate (SOFR) What is SOFR? Endorsed by the Alternative Reference Rate Committee (ARRC) in June
More informationNAVIGATING. a BriEF guide to the DErivativEs MarkEtPLaCE and its role in EnaBLing ECOnOMiC growth
NAVIGATING a BriEF guide to the DErivativEs MarkEtPLaCE and its role in EnaBLing ECOnOMiC growth p 1 OVERVIEW What does risk look like p 14 THE BIG ECONOMIC PICTURE A quick lesson in supply and demand
More informationUK Grain Marketing Series January 19, Todd D. Davis Assistant Extension Professor. Economics
Introduction to Basis, Cash Forward Contracts, HTA Contracts and Basis Contracts UK Grain Marketing Series January 19, 2016 Todd D. Davis Assistant Extension Professor Outline What is basis and how can
More informationRecent Delivery Performance of CBOT Corn, Soybean, and Wheat Futures Contracts
Recent Delivery Performance of CBOT Corn, Soybean, and Wheat Futures Contracts Statement to the CFTC Agricultural Forum, April 22, 28 Scott H. Irwin, Philip Garcia, Darrel L. Good, and Eugene L. Kunda
More informationMARGIN M ANAGER The Leading Resource for Margin Management Education
Margin Management Since 1999 MARGIN M ANAGER The Leading Resource for Margin Management Education June 2015 Learn more at MarginManager.Com INSIDE THIS ISSUE Feature Article Open Outcry Goes Dark Pg 2
More informationDivergent Levels of Debt: Differing National Strategies and Their Consequences for Investors
Divergent Levels of Debt: Differing National Strategies and Their Consequences for Investors Erik Norland, Senior Economist & Executive Director Intelligence & Analytics November 2018 1 Investment Advice
More informationMonthly Metals Review
METALS May 216 Monthly Metals Review A Global Trading Summary of Metals Markets Highlights Futures Options How the world advances Monthly Metals Review METALS TRADING HIGHLIGHTS May 216 Highlights: Average
More informationCommodity products. Grain and Oilseed Hedger's Guide
Commodity products Grain and Oilseed Hedger's Guide In a world of increasing volatility, customers around the globe rely on CME Group as their premier source for price discovery and managing risk. Formed
More informationLeveraged ETFs. Where is the Missing Performance? EQUITY MARKETS JULY 26, Equity Products
EQUITY MARKETS Leveraged ETFs Where is the Missing Performance? JULY 26, 2012 Richard Co Executive Director Equity Products 312-930-3227 Richard.co@cmegroup.com John W. Labuszewski Managing Director Research
More informationGREATER SECURITY. MORE CERTAINTY. CME CLEARPORT.
GREATER SECURITY. MORE CERTAINTY. CME CLEARPORT. FLEXIBLE SOLUTIONS FOR MITIGATING YOUR RISK CME ClearPort is a comprehensive set of flexible clearing services for the global OTC market. Launched in 2002
More informationCOMMODITY PRODUCTS Moore Research Report. Seasonals Charts Strategies GRAINS
COMMODITY PRODUCTS 28 Moore Research Report Seasonals Charts Strategies GRAINS Welcome to the 28 Moore Historical GRAINS Report This comprehensive report provides historical daily charts, cash and basis
More information