Putting on the crush: day trading the soybean complex spread

Article Abstract:

Significant results of previous researches on the soybean complex are discussed. The profitability of intraday trades based solely on gross processing margin is evaluated. The soy crush spread involves combining a long position in soybeans with short positions in meal and oil. The results suggest that, for sufficiently large filter sizes, the treading rule is profitable during the sample periods covered. Thus, this open-to-close day trading strategy can be exploited by floor traders operating in the soybean pits.

Methods, Futures, Soybean, Soybeans, Floor traders (Finance)

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Spread options, exchange options, and arithmetic Brownian motion

Article Abstract:

Spread trading serves as an essential source of liquidity in both cash and futures markets. Broad variation in the kinds of spreads being traded may be determined. Spread option pricing is made complex by the existence of two random variables. Substantial pricing disparities are observed for spread options concerning securities making dividend payments. These disparities are partly credited to problems in ascertaining variability for the arithmetic processes.

Financial Management, Planning, Prices and rates, Stock-exchange, Stock exchanges, Futures market, Futures markets, Spreadsheets, Spreadsheet software

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Hedging and crop insurance

Article Abstract:

Farmers, to hedge against price and quantity uncertainty for crops, can make use of crop insurance coverage and derivative securities such as futures contracts. The nature of solutions to the traditional mean-variance optimal hedging problem is changed considerably by considering farm income involving two random variables. The analysis specifies the expected utility function to take into account the asymmetric nature of terminal wealth distribution.

General farms, primarily crop, Noncommercial research organizations, Models, Analysis, Risk management, Hedging (Finance), Crop insurance

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