The Design Of Spread Options Based On Coking Spread

Coking spread option contract is a financial instrument based on coke profit in coke industry.In terms of coke production pattern,China's coke output accounts for about 70% of the world's output.From the perspective of coke consumption pattern,China's steel output exceeds 50% of the world's output,and its apparent consumption of coke is huge.From the perspective of the scale of China's coke enterprises,except for a few steel mills,most of China's coke enterprises are private enterprises with small scale,weak discourse power,large profit fluctuations and strong hedging demand.However,similar to the coking spread options to hedge profit fluctuations hedging tools have not been in the domestic financial derivatives market.Foreign markets have introduced contracts such as cracked spread options and soybean crush spread options.In order to hedge gross profit fluctuations,domestic investors often choose the upstream and downstream product portfolio in the futures market to construct profits,but the hedging effect of this method is less intuitive.Based on the scale of China's coking industry and the large fluctuation range of coking profit,this paper studies the development of coking spread options in China from the perspective of hedging of coking enterprises,and designs the spread options contracts in China by referring to the specifications of foreign spread options contracts.The design of this product provides theoretical basis for the launch of coking spread option contracts in China,and also provides reference for the development of similar spread option products in China in the future,thus promoting the better development of China's derivatives market.First of all,The economic function of coking price options,market prospects and present problems such as the necessity and feasibility of the contract are analyzed,and some of the novel from the perspective of the "law of one price",the contract price discovery function,the development of coking spread option has a broad market prospects,from capital market,exchange and enterprise,policy,and the underlying futures specifications found the timely development of our country coking spread option is necessary and there is a relatively good environment;The second,Spread options contracts specifications abroad and domestic,thispaper options contracts,specifications,basic elements of coking spreads options contracts,risk control elements and delivery to design,eventually get a coking spread options contracts,standard specification,by comparing the three common spread option pricing model,the final selection of calculation results is relatively simple,relatively accurate Bjerksund & Stensland optimization model to price the option pricing model based on coking enterprises in2014-2018 using coking spreads option hedging effect measure,It is found that the coking spread option priced by Bjerksund & Stensland model can achieve the hedging effect without considering the transaction cost and relying only on the historical data;In the end,Based on the scale of China's coke enterprises,this paper puts forward the promotion strategy of the product from the perspective of exchanges.