农业金融中的风险管理2：基于谷物期货合同的期权规格

G85-769-A Options Contract Specifications On Grain Futures Contracts This publication, the second of six NebGuides on agricultural grain options, explains specifications and uses of futures contracts for corn and soybean trading. Lynn H. Lutgen, Extension Marketing Specialist Lynne A. Todd, Agricultural Research Technician Previous Category | Catalog | Order Info Contact Specifications Establishing Strike Prices Establishing Premium Values Conclusion Agricultural Grain Options Before using options on agricultural futures contracts, it is essential to understand what constitutes an options contract. This publication outlines contract specifications of corn and soybean options on corresponding futures contracts presently traded at the Chicago Board of Trade (CBT). All contract specifications are discussed including: price quotations, maximum and minimum price fluctuation figures, and last trading day for an option. How strike prices and premium values are determined in relation to futures contract prices also will be explained. For other commodity specifications at different exchanges, contact the specific exchange or a broker. Contact Specifications Presently, trading in corn and soybean futures options contracts is available at the Chicago Board of Trade. Corn options are traded on the March, May, July, September, and December corn futures contracts. Soybean options are traded on the January, March, May, July, August, and November soybean 1 of 4 8/3/99 11:47 AM Options Contract Specifications On Grain Futures Contracts, G85-769-A http://www.ianr.unl.edu/PUBS/farmmgt/g769.htm futures contracts.* Options represent underlying futures contracts. Thus, options specifications are related to price. The futures contracts they represent have their own specifications such as: the basic trading unit and deliverable grade. Complete specifications for corn and soybeans options are outlined below: Corn Options Chicago Board of Trade Premium Price Quotation Cents and one-eighth cents per bushel Premium Minimum Fluctuation 1/8 cent per bushel ($6.50 per contract) Premium Daily Price Limit 10 cents per bushel ($500 per contract) above and below the previous day's settlement price Trading Hours (Chicago Time) 9:30 a.m. to 1:15 p.m. Last Trading Day No trading can take place past 12:00 noon on the last Friday preceding, by at least ten business days, the first notice day for the corresponding futures contract. The first notice day is the last business day of the month preceding the delivery month. Expiration Day The Saturday following the last trading day Date Trading Began February 27, 1985 Soybean Options Chicago Board of Trade Premium Price Quotation Cents and one-eighth cents per bushel Premium Minimum Fluctuations 1/8 cent per bushel ($6.50 per contract) Premium Daily Price Limit 30 cents per bushel ($1500 per contract) above and below the previous day's settlement price Trading Hours (Chicago Time) 9:30 a.m. to 1:15 p.m. Last Trading Day No trading can take place past 12:00 noon on the last Friday preceding, by at least ten business days, the first notice day for the corresponding futures contract. The first notice day is the last business day of the month preceding the delivery month. Expiration Day The Saturday following the last trading day Date Trading Began October 30, 1984 Establishing Strike Prices 2 of 4 8/3/99 11:47 AM Options Contract Specifications On Grain Futures Contracts, G85-769-A http://www.ianr.unl.edu/PUBS/farmmgt/g769.htm Options price quotes list strike prices and premium values for both puts and calls: Options Soybeans (CBT) 5,000 bu.; cents per bu. Strike Price Calls - Settle Puts - Settle Aug-Call Nov-Call Jan-Call Aug-Put Nov-Put Jan-Put 525 -- -- -- 2 4 -- 550 20 21 1/4 -- 4 12 1/4 20 575 6 1/4 12 28 15 28 32 600 2 5/8 7 1/2 20 36 48 1/2 48 625 1 1/2 6 14 59 71 1/2 66 650 1/2 3 1/2 11 84 92 -- Strike prices occur at ten cent intervals for corn and twenty- five cent intervals for soybeans. Initial strike prices are determined by futures contracts closing prices. When the current options contract goes off the board (the last trading day), the closing price of the distant contract month is noted. This base price is then rounded to the nearest 10 cents to establish distant options strike prices. When this price is determined, appropriate intervals are applied (10 cents for corn, 25 cents for soybeans) to establish additional strike prices. Two strike prices are established above the base strike price and two strike prices are established below the strike price. For example, suppose that on the last trading day of the September '85 corn futures options contract, the closing price on the most distant '86 corn futures contract was $2.68. This price is rounded to the nearest 10 cents ($2.70) and becomes the base strike price for September '86 corn options. Additional strike prices of $2.50, $2.60, $2.80, and $2.90 are established. Several strike prices allow the options trader to choose the particular futures option that best suits his needs. If futures prices increase, additional call and put options will be introduced with higher strike prices. If futures prices decrease, additional call and put options with lower strike prices will be established. Establishing Premium Values Options are traded the same way futures contracts are traded: through open outcry of competitive bids and offers on the trading floor of the exchange. The negotiated price is the premium. Pricing increments on grain options premiums are one-eighth of a cent. On the trading floor, daily minimum price fluctuation of the premium value is one-eighth of a cent. The daily price unit or maximum fluctuation is 30 cents/bushel on soybeans and 10 cents/bushel on corn above and below the previous day's settlement price. Conclusion Before a producer utilizes agricultural options, he must understand contract specifications and how strike prices and premium values are determined. Options contracts represent underlying futures contracts and the commodity associated with the futures contract. Traders of grain options contracts buy or sell option contracts at specific strike prices. Strike prices are 3 of 4 8/3/99 11:47 AM Options Contract Specifications On Grain Futures Contracts, G85-769-A http://www.ianr.unl.edu/PUBS/farmmgt/g769.htm determined systematically from closing prices of the underlying futures contract. When the current options contract expires, the closing price of the most distant contract month is used to establish the base strike price on the following year's options contract. Premiums are determined in the trading pit by open outcry. Premiums are quoted in one-eighth cent increments. The minimum price fluctuation of premium values is one-eighth of a cent on both corn and soybeans. The maximum price fluctuation is 30 cents/bushel on soybeans and 10 cents/bushel on corn. AGRICULTURAL GRAIN OPTIONS This series includes the following NebGuides which may be obtained at your local Cooperative Extension Service office. G85-768, Basic Terminology for Understanding Grain Options G85-769, Options Contract Specifications on Grain Futures Contracts G85-770, An Introduction to Grain Options on Futures Contracts G85-771, Evaluating Grain Options Versus Futures Contracts G85-772, Using Grain Options to Follow a Rising Market G85-773, Evaluating Pricing Opportunities with Grain Options *Options are currently not traded on the September soybean futures contracts, but may be added in the future. File G769 under: FARM MANAGEMENT K-19, Marketing Issued December 1985; 12,000 printed. Electronic version issued April 1997 pubs@unlvm.unl.edu Issued in furtherance of Cooperative Extension work, Acts of May 8 and June 30, 1914, in cooperation with the U.S. Department of Agriculture. Kenneth R. Bolen, Director of Cooperative Extension, University of Nebraska, Institute of Agriculture and Natural Resources. University of Nebraska Cooperative Extension educational programs abide with the non-discrimination policies of the University of Nebraska-Lincoln and the United States Department of Agriculture. 4 of 4 8/3/99 11:47 AM Options Contract Specifications On Grain Futures Contracts, G85-769-A http://www.ianr.unl.edu/PUBS/farmmgt/g769.htm