Research On The Delivery Location Option Of Soybean Meal Futures And Soybean Oil Futures And Its Influence On Hedging Efficiency

Physical delivery is an important part of futures trading,and its cost and risk are relatively large.In the futures contracts traded on the Dalian Commodity Exchange,the seller's delivery location option will directly affect the forecast of futures prices,which in turn will affect the investor's hedging efficiency.The research objects are the soybean meal futures and soybean oil futures of Dalian Commodity Exchange.The research finds that:(1)The soybean meal market is more active than the soybean oil market,and the delivery locations between the two commodities are mostly the same.Due to the impact of the premiums and discounts between different locations,there is a certain gap between the spot prices and futures prices of the two commodities between different locations;(2)Using the delivery location option pricing model,and it is found that the value of the delivery location option of soybean meal is lower than that of soybean oil.The lower value of the delivery location option of soybean meal has greater impact on futures prices and spot prices than soybean oil,so the soybean meal's hedging efficiency is more susceptible to the delivery location options;(3)Using the simulation method to set three delivery specifications,it is found that adding new delivery location and setting appropriate premium are beneficial to improve the efficiency of hedging.The correlation is greater between the spot price of the newly added benchmark delivery location and the spot price of the original delivery location,the hedging efficiency is higher.And the hedging efficiency of the three delivery specifications of soybean meal is significantly improved,while that of soybean oil is not significantly changed.(4)The linear programming method is used to improve the delivery matching method of soybean meal futures and soybean oil futures.The simulation finds that within a certain number of delivery locations,the optimization efficiency is improved,the logistics distance of goods is saved,and the delivery cost hidden by the delivery location options is reduced.Moreover,the number of delivery locations has a greater impact on the cost of delivery than the number of buyers.Based on the above research conclusions,in order to improve the hedging efficiency,it is suggested that(1)The choice of new delivery location should be more relevant to the spot prices of the original delivery location,it is generally selected in the main production area or the main sales area;(2)Setting appropriate premium standards for soybean meal futures and soybean oil futures;(3)Linear programming method is used to combine the minimum logistics distance with the “the minimum number of pairs” to optimize distance of logistics and reduce the cost of delivery.This paper researches the delivery location option of soybean meal futures and soybean oil futures and its influence on hedging efficiency,it does not consider the delivery time option to research the efficiency of futures hedging.This issue will be further studied in the future.