Trading Commodities. An introduction to understanding commodities
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1 Trading Commodities An introduction to understanding commodities
2 Brainteaser Problem: A casino offers a card game using a deck of 52 cards. The rule is that you turn over two cards each time. For each pair, if both are black, they go to the dealer s pile; if both are red, they go to your pile; if one black and one red, they are discarded. The process is repeated until you go through all 52 cards. If you have more cards in your pile, you win $100; otherwise (including ties) you get nothing. How much would you be willing to pay to play this game? ALSO QFS TREASURER APPLICATION: AND QFS FEEDBACK (PLEASE GIVE US FEEDBACK):
3 Brainteaser Solution: You always lose pay 0 dollars Why? Try a deck with 2 black and 2 reds. Tip: Simplify problems if you can, then recognize a pattern.
4 Market Update Market Week in Review Trump: Republican control and Trump is President. This has varying effects on different countries, industries, and financial assets. Emerging Markets have suffered from the outcome Many commodities have performed well (metals) while others are unaffected (ags) Interest Rates selling off Upcoming Events: Draghi Speech (Monday), UK CPI (Tuesday), EU GDP (Tuesday)
5 What are commodities? A reasonably interchangeable physical good or material Some commodities are traded on exchanges: CBOT, CME, NYMEX, ICE Exchanges set deliverable grades Ex: Sugar Raw centrifugal cane sugar based on 96 degrees average polarization
6 Types of Commodities Agricultural Grains: Corn, Soybean, Wheat, Softs: Cocoa, Coffee, Sugar, Frozen Concentrated Orange Juice Livestock: Cattle, Hogs Metals Industrial: Copper, Aluminum, Iron, Nickel, Zinc Precious: Gold, Silver Energy Oil: WTI, Brent Distillates (Refined Products): Heating Oil, Gasoline Ethanol, Natural Gas
7 Commodity Markets Spot Market Physically deliver or take delivery Takes advantage of geographic price differences Ex: If a farmer harvested corn and wants to sell immediately Futures Market Promise to buy or sell in the future Speculate on future prices or hedge commodity prices Ex: If a farmer unsure of weather, can lock in selling price
8 Commodity Markets Producers Reduce risk by locking in selling price Consumers Reduce risk by locking in buying price Commodity Market Participants Managed Money Takes on risk by betting on commodity price movements Carlos
9 Commodity Trends Commodity Price Index (S&P GSCI Index) /1/1970 1/1/1974 1/1/1978 1/1/1982 1/1/1986 1/1/1990 1/1/1994 1/1/1998 1/1/2002 1/1/2006 1/1/2010 1/1/2014
10 Commodity Trends Commodity Volatility 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 8/1/1970 8/1/1974 8/1/1978 8/1/1982 8/1/1986 8/1/1990 8/1/1994 8/1/1998 8/1/2002 8/1/2006 8/1/2010 8/1/2014
11 Commodity Trends Commodity Correlation to Equity Markets /1/2007 1/1/2008 1/1/2009 1/1/2010 1/1/2011 1/1/2012 1/1/2013 1/1/
12 Commodity Contract Specs Corn Futures Contract Unit Price Quotation Trading Hours Minimum Price Fluctuation Listed Contracts Settlement Method 5,000 bushels (~127 metric tons) Cents per bushel Monday Friday, 8:30AM 1:20PM CT ¼ of one cent per bushel ($12.50 per contract) March (H), May (K), July (N), September (U), & December (Z) Deliverable Grade and Quality #2 Yellow Corn at contract price, #1 Yellow Corn at 1.5 cent/bushel premium, #3 Yellow at 1.5 cent/bushel discount
13 Futures Curve Contango
14 Futures Curve Backwardation
15 What drives commodity prices? Cost of Carry Oversupply leads to storage capacity pressures, results in higher cost of carry, widening contango Exploitive Strategy: Short front month, Long further month. Seasonality Idiosyncratic factors related to seasonality of commodity (i.e. weather) Exploitive Strategy: Long/Short based on directional view Commodity Drivers Inter-Commodity Relationships Certain commodities are correlated to other commodities Exploitive Strategy: Long one commodity, Short the other commodity Shocks Supply disruptions (drought for grains, geopolitical tensions for energy) Exploitive Strategy: Long/Short based on directional view
16 Trading Strategies: Commodity Relationships Macro Portfolio Long Platinum / Short Palladium (Fundamental view) Thesis: News of Volkswagen s emissions scandal ( Dieselgate ) resulted in a overly-bearish price drop in platinum, the primary component for diesel-based catalytic converters. The price drop is not justified and is a result of negative Volkswagen coverage, and the spread between Palladium and Platinum will correct back to normal levels. Multi Portfolio Long Corn / Short Soybean (Fundamental view) Thesis: Due to abnormal bumper crop of corn (unprecedented capacity for second corn crop) from optimal planting conditions and strong safrinha (second corn crop) in Brazil, corn became extremely cheap relative to soybean. In following season, farmers will reduce planted corn acres for soybean acres given the relative price attractiveness, yielding a decrease in soybean prices and increase in corn prices the following harvest.
17 Trading Strategies: Commodity Relationships Quant Portfolio Long Live Cattle / Short Feeder Cattle & Short Corn (Quantitative view) Thesis: Though assuming assets follow a random-walk process, assets can still be co-integrated and therefore co-move with each other. Because the Cattle Crush (the initiated position) is a proxy for raising baby cattle (the feeder cattle) by feeding (through corn) and then selling as a fattened slaughter-ready cattle (live cattle), it makes sense for these assets to co-move. When the prices of these assets diverge, signals (rolling standard deviations) pick up the divergence and strategy initiates position betting on reversion back to normal co-movement relationship. Multi Portfolio Long Sugar (Quantitative view) Thesis: Because Brazil, the largest producer of sugar, exports 46% of the world s sugar crop, Brazilian cost of production has a direct relationship to sugar prices. By regressing, Brazilian cost of production of sugar to prices, it is revealed that over 80% of the variability of the sugar prices is explained by Brazilian cost of production (R " ). Therefore, currency depreciation of the Brazilian real has a direct relationship with decreased sugar prices, and signals (residuals) can determine whether sugar is overpriced or underpriced given Brazilian currency depreciation.
18 Trading Strategies: Seasonality, Shocks, and Cost of Carry Macro Portfolio Long Palm Oil (Seasonality) Thesis: With last year s El-Nino projected to be one of history s strongest El-Nino, this will affect Palm Oil production in the largest producing areas (Asia). Last year s El-Nino is not properly priced in, as risk-premium for potential shortage due to weather is not high enough relative to similar past situations. Multi Portfolio Long Oats ( Supply Shock ) Thesis: Due to snowstorms in the winter disrupting rail transportation, bottlenecking due to inefficiencies in rail transportation, increased usage of rail transport for crude oil, lack of priority to transport oats (other grains like wheat take priority), and low oat inventories in Minneapolis, oat prices is expected to surge upon contract future expiry as shippers struggle to deliver oats to futures delivery point in Minneapolis. Multi/Macro Portfolio Short Front Month Cocoa / Long Back Month Cocoa (Cost of Carry) Thesis: Ebola hysteria in Africa two years directly disrupted production of Cocoa (produced in Ivory Coast, Ghana). Amidst the harvesting season of cocoa, Ebola hysteria shifted the whole futures curve from contango to backwardation due to panic from expected shortage of cocoa. Ebola will only temporary disrupt harvest of cocoa, and given an expected better than average harvest, cocoa s future curve should revert back to contango state.
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