The Price Analysis And Risk Measurement Of Soybean Meal Options In China

Soybean meal option is the first commodity option listed in China,and the trading volume has steadily ranked first in the global agricultural product futures trading volume for many years,which is widely concerned by the international commodity futures market.However,soybean meal is easy to receive the movie star of agricultural product price fluctuation,so the risk of soybean meal production and operation has gradually increased,the original hedging model has become more difficult to meet the needs of the market,and the demand of enterprises and investors for soybean meal option risk management tools is more urgent.As an American option that can be executed at any time in the validity period,soybean meal option is vulnerable to the influence of international market and trade policy,and the price fluctuates greatly,and may have the volatility variable structure effect that is common in the financial sequence,so the simple Black-Scholes model can not accurately price soybean meal option.This paper studies the price analysis and risk measurement of soybean meal options in China.The main conclusions are as follows:(1)We based on the data of soybean meal futures price and soybean meal option price from 2018 to 2020,the CUSUM test method is used to investigate whether there is a variable structure effect under the background of frequent fluctuations in the recent trade market.It is found that the main soybean meal contracts from 2018 to 2020 have obvious variable structure points,which is related to the frequent adjustment of futures market policies at home and abroad.(2)On the basis of the CUSUM test division,the volatility of soybean meal futures returns is GARCH model to calculate the VaR value.The results show that when the data have variable structure effect,the accuracy of the model is obviously different for the same group.the VaR value calculated by the sample data tested by the CUSUM method at 95% confidence level is lower than the data overflow rate not tested by the CUSUM method,and the model accuracy is higher.the posterior test of the model also confirms the feasibility of this method.(3)Based on the above data analysis results,we use four Delta hedging strategies:fixed interval hedges,fixed interval hedges,Lelend hedging strategies and Whalley-Willmott hedging strategies,which are widely used and easy to operate to carry out empirical hedging experiments on the sample data.the results show that the hedging method can effectively reduce the risk of market investment,and under the four hedging strategies selected,the sample data tested by the CUSUM method is better than the data tested by the data not tested by the CUSUM method.This provides investors with the idea of avoiding risk in the futures market,that is,by modeling and predicting the price trend of futures to plan investment in stages,and then adopt different hedging strategies according to the actual situation,which can effectively reduce the financing risk and obtain relatively stable returns.