1、大宗商品期權(quán)市場(chǎng)及其在企業(yè)價(jià)格風(fēng)險(xiǎn)管理中的應(yīng)用法國巴黎銀行 商品衍生品部門（CIT）2014，5. 29 2大宗商品期權(quán)市場(chǎng)由于大宗商品市場(chǎng)本身的變化和企業(yè)本身面臨的商業(yè)環(huán)境的復(fù)雜化，大宗商品期權(quán)在企業(yè)的價(jià)格風(fēng)險(xiǎn)管理和保值中的應(yīng)用越來越廣泛。雖然在這一過程中出現(xiàn)過各類問題，但合理的運(yùn)用各類期權(quán)產(chǎn)品仍然可以給各類企業(yè)帶來很好的價(jià)格風(fēng)險(xiǎn)管理效果，因此這些產(chǎn)品被廣泛應(yīng)用。何謂合理應(yīng)用？我們認(rèn)為期權(quán)代表某種靈活性。當(dāng)企業(yè)由于自家的資產(chǎn)或面臨的環(huán)境享有某種靈活性時(shí)，它可以通過賣出期權(quán)產(chǎn)品把這種靈活性變現(xiàn)，相反，當(dāng)企業(yè)由于某種原因缺少某種靈活性，而這種缺失又會(huì)給企業(yè)的經(jīng)營帶來比較大的風(fēng)險(xiǎn)時(shí)，它就應(yīng)該考慮買

2、入相應(yīng)的期權(quán)產(chǎn)品來對(duì)沖這一風(fēng)險(xiǎn)。那么市場(chǎng)上有哪些期權(quán)產(chǎn)品呢，我們?cè)囍阉麄兎殖扇?。一。期貨交易所里掛牌的期?quán) （exchange traded options)二。簡單場(chǎng)外期權(quán)，如一般亞式期權(quán)（Asian Options)，調(diào)期期權(quán)（swaptions)，多資產(chǎn)期權(quán)（ basket options ）等。三。一些非線性的復(fù)雜或混合期權(quán)。( other exotic options)3大宗商品期權(quán)市場(chǎng)交易所掛牌期權(quán)一。期貨交易所里掛牌的期權(quán) （exchange traded options) 各大商品交易所（LME，ICE， CME）都有針對(duì)其期貨的掛牌期權(quán)，比如LME銅掛未來63個(gè)月，行權(quán)價(jià)

3、是由交易所規(guī)定的，USD25-USD9975之間是25美元間隔，USD50-USD19950是50美元間隔，USD20000以上是100美元間隔。 交易所掛牌期權(quán)都是歐式或美式期權(quán)。 這些期權(quán)的標(biāo)的物是期貨合約，到期日多是期貨合約到期前1-2周。對(duì)行權(quán)過程有各自但大同小異的規(guī)定。 交易所掛牌期權(quán)是各類場(chǎng)外期權(quán)交易和對(duì)沖的基礎(chǔ)，他們對(duì)于發(fā)現(xiàn)期權(quán)的市場(chǎng)價(jià)格，尤其是波動(dòng)性至關(guān)重要。但是一般企業(yè)通常不用這些期權(quán)，多數(shù)參加交易的是做市商，對(duì)沖基金等機(jī)構(gòu)。4大宗商品期權(quán)市場(chǎng)簡單場(chǎng)外期權(quán)亞式期權(quán)二。簡單場(chǎng)外期權(quán)亞式期權(quán)（Asian Options)，亞式期權(quán)的標(biāo)的物為一個(gè)指數(shù)的平均值，自動(dòng)計(jì)價(jià)行權(quán)。作為一種

4、場(chǎng)外產(chǎn)品被廣泛運(yùn)用。作為場(chǎng)外產(chǎn)品，指數(shù)在一定期限的平均值跟容易跟實(shí)際風(fēng)險(xiǎn)敞口匹配，另外亞式期權(quán)因?yàn)槭菆?chǎng)外交易所以很靈活，到期日，行權(quán)價(jià)等都可以協(xié)商選擇，最重要的是標(biāo)的指數(shù)的選擇面比交易所掛牌期權(quán)范圍廣闊的多，這一點(diǎn)在能源市場(chǎng)上尤為突出，交易所里只有五種，場(chǎng)外可以有幾十種。當(dāng)然，多數(shù)場(chǎng)外期權(quán)的“效率”不如交易所掛牌的。生產(chǎn)商可以購買賣出期權(quán)為未來的產(chǎn)量保值，最終用戶可以購買買入期權(quán)為其消費(fèi)保值，有剩余產(chǎn)能的生產(chǎn)商也可以賣出買入期權(quán)取得因擁有剩余產(chǎn)能而得到的收益。 6大宗商品期權(quán)市場(chǎng)簡單場(chǎng)外期權(quán)掉期期權(quán)掉期期權(quán)（swaptions)，掉期期權(quán)的標(biāo)的物是一個(gè)掉期合約，一般以歐式期權(quán)的形式成交，行權(quán)時(shí)

5、轉(zhuǎn)化成一個(gè)掉期合約。在這一點(diǎn)上，它有點(diǎn)兒像交易所掛牌期權(quán)，但同時(shí)它有場(chǎng)外交易的靈活性和多種標(biāo)的選擇。跟一般亞式期權(quán)比起來，除了標(biāo)的，行權(quán)價(jià)，方向，掉期期權(quán)交易時(shí)還需要協(xié)商的，或同時(shí)是一個(gè)重要的價(jià)格影響因素是到期日（或稱行權(quán)日）。行權(quán)日和標(biāo)的掉期的計(jì)價(jià)期可以很近，也可以有很遠(yuǎn)的距離，但一般是早于標(biāo)的掉期的計(jì)價(jià)期開始日期，否則就成了“回看”或部分回看期權(quán)，那算是一種比較復(fù)雜的期權(quán)，一般也比較貴。有些稱為“可展期掉期”的交易實(shí)際就是一個(gè)掉期加一個(gè)掉期期權(quán)。 7大宗商品期權(quán)市場(chǎng)簡單場(chǎng)外期權(quán)多資產(chǎn)期權(quán)多資產(chǎn)期權(quán)（ basket options ）多資產(chǎn)期權(quán)是從資本市場(chǎng)引進(jìn)的概念，本來是指期權(quán)的標(biāo)的物是一

6、個(gè)投資組合（或其價(jià)格指數(shù)），但在商品市場(chǎng)中，往往是指差價(jià)的期權(quán)。很多實(shí)物資產(chǎn)的收益是取決于市場(chǎng)上某種商品的價(jià)格，比如一個(gè)油田，一個(gè)銅礦。另外一些實(shí)物資產(chǎn)的收益則取決于價(jià)差 （不同商品，同一商品不同時(shí)間或地點(diǎn)等），比如一個(gè)煉油廠，一條管線，一個(gè)油庫或發(fā)電廠。在美國我們有交易天然氣和電價(jià)差的掉期期權(quán)。在亞洲我們有交易新加坡成品油與中東原油價(jià)差的亞式期權(quán)或掉期期權(quán)。在歐洲我們有交易帶船期的布倫特的月差的亞式期權(quán) 等等。9大宗商品期權(quán)市場(chǎng)-一些非線性的復(fù)雜或混合期權(quán)。( exotic options)一些非線性的復(fù)雜或混合期權(quán)。( other exotic options)很多復(fù)雜期權(quán)是從資本，尤其是

7、投資市場(chǎng)借鑒過來的。但在商品市場(chǎng)中每隔一段時(shí)間就會(huì)有由此而發(fā)的交易丑聞出現(xiàn)，這些事件中我覺得銀行和客戶都有問題。投資產(chǎn)品是用擔(dān)風(fēng)險(xiǎn)來換收益的交易，而我們面臨的企業(yè)客戶多數(shù)應(yīng)該做的是出讓或放棄一些收益來規(guī)避風(fēng)險(xiǎn)的交易.我們?cè)敢飧蛻糇鲞@些交易，但前提是我們充分了解客戶的經(jīng)營中的確有可以對(duì)沖賣出的某種復(fù)雜期權(quán)的靈活性目標(biāo)掉期（target swap)/目標(biāo)贖回 （target redemption)敲入/敲出 （knock-in， knock-out)可回撤的結(jié)構(gòu)（callable structures), 掉期，多重期權(quán)等復(fù)合選擇掉期（chooser swap， FX/commodity）10大

8、宗商品期權(quán)市場(chǎng)在保值中的應(yīng)用最保守最進(jìn)取買賣出期權(quán)雙重期權(quán)賣掉期增強(qiáng)掉期賣買入期權(quán)付現(xiàn)金沒下跌風(fēng)險(xiǎn)上漲潛在收益全拿到不用或只付少量現(xiàn)金上漲潛在收益拿一部分風(fēng)險(xiǎn)有限 不用付現(xiàn)金上漲潛在收益全沒有下跌風(fēng)險(xiǎn)全保住不用付現(xiàn)金鎖定比市場(chǎng)好一些的掉期市場(chǎng)變化大時(shí)也許失掉保護(hù)。或部分風(fēng)險(xiǎn)保不住收現(xiàn)金下跌風(fēng)險(xiǎn)保不住上漲潛在收益沒有以為生產(chǎn)商保值為例 可以看出，期權(quán)在從最保守的保證到最“進(jìn)取”的保值方案中都有運(yùn)用，它是衍生品市場(chǎng)的重要部分。如同所有衍生品工具，對(duì)于企業(yè)來說，他的用途是規(guī)避風(fēng)險(xiǎn)，但不合理的運(yùn)用也會(huì)給企業(yè)帶來不必要的風(fēng)險(xiǎn)。DisclaimerThis material was produced by

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