| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
PRICE DISCOVERY FOR STOCKER CATTLE FUTURES AND OPTIONS
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| Autores: |
Diersen, Matthew A.
Klein, Nicole L.
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| Data: |
2000-05-22
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| Ano: |
2000
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| Palavras-chave: |
Stocker cattle
Cross-hedging
Volatility
Limit order
Thin markets
Marketing
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| Resumo: |
Low trading volume in the CME stocker cattle contracts has made hedgers and speculators reluctant to use the contracts. Traders need decision tools to discover prices or to evaluate quoted prices that may not contain all the information in the market. The number of head of stocker weight cattle sold on the spot market has increased in recent years while the practice of cross-hedging stocker weight cattle against the feeder cattle contract remains risky. A model explains the spread between feeder cattle and stocker cattle futures prices as a function of feed prices, live cattle prices, and seasonal factors. The volatility of spot stocker cattle prices is comparable to spot feeder cattle prices, supporting the idea of using feeder cattle implied volatility measures as estimates of stocker cattle futures implied volatility in option pricing models. The model and relations proposed should be useful for traders evaluating observed prices or placing limit orders for stocker futures and options.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
2037
http://purl.umn.edu/18940
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| Editor: |
AgEcon Search
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| Relação: |
NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2000 Conference, Chicago, IL, April 17-18 2000
2000 Conference, Chicago, IL, April 17-18 2000
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| Formato: |
12
application/pdf
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