An enterprise processing crude oil signed a purchase contract for 10,000 barrels
of crude oil, whereby the crude oil would be delivered in a month at the then
prevailing price. The current spot price of crude oil is 392.0 Yuan/barrel. Afraid
of a further increase in crude oil price, this enterprise has the demand to enter
into a long hedge. To do so, it may choose a futures or options hedging strategy.
Table 3 Specific Actions Involved in Futures and Options Hedging Strategies
1.If the spot and futures prices rise to 410.0 Yuan/barrel and 412.0 Yuan/barrel
respectively a month later:
Futures hedging strategy:
Profit or loss from the spot positions: 392.0 - 410.0 = - 18.0 Yuan/barrel
Profit or loss from the futures positions: 412.0 - 394.0 = 18.0 Yuan/barrel
Total profit or loss: 18.0 - 18.0 = 0 Yuan/barrel
Actual buying price: 392.0 + 0 = 392.0 Yuan/barrel
Options hedging strategy:
Profit or loss from the spot positions: 392.0 - 410.0 = - 18.0 Yuan/barrel
Profit or loss from the options positions (upon exercise of the options): 412.0 -
390.0 - 3.0 = 19.0 Yuan/barrel
Total profit or loss: 19.0 - 18.0 = 1.0 Yuan/barrel
Actual buying price: 392.0 - 1.0 = 391.0 Yuan/barrel
2.If the spot and futures prices drop to 380.0 Yuan/barrel and 382.0 Yuan/barrel
respectively in a month:
Futures hedging strategy:
Profit or loss from the spot positions: 392.0 – 380.0 = 12.0 Yuan/barrel
Profit or loss from the futures positions: 382.0 - 394.0 = -12.0 Yuan/barrel
Total profit or loss: 12.0 - 12.0 = 0 Yuan/barrel
Actual buying price: 392.0 + 0 = 392.0 Yuan/barrel
Options hedging strategy:
Profit or loss from the spot positions: 392.0 – 380.0 = 12.0 Yuan/barrel
Profit or loss from the options positions (upon abandonment of the options):
premium loss = -3.0 Yuan/barrel
Total profit or loss: 12.0 - 3.0 = 9.0 Yuan/barrel
Actual buying price: 392.0 - 9.0 = 383.0 Yuan/barrel
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