Source: Zijin Tianfeng Futures Research Institute
[20240513] Cloud Review | option: Manganese Silicon option soared 30 times in half a dayGamesforcrypto, and then return to zero, what is the reason?
Recently, manganese silicon futures have risen fiercely, according to the latest research of the Institute: at present, the global supply of manganese ore has been reduced by more than 10%, and the downstream is in the cycle of resuming production. In the short term, there is a large gap between supply and demand. Affected by this supply and demand gap fundamentals, manganese silicon contract rose all the way. Today is also the doomsday round of the manganese silicon option SM406 contract, when the market rose sharply, option prices rose, which inevitably reminds people of the madness brought about by lithium carbonate doomsday options in December last year.
From the perspective of market software, the futures-end SM406 contract closed at 9002 points, up 6%.Gamesforcrypto.48%, but the final price of the par option SM406C9000 is fixed at 1, which is not only not in line with the expected rise, but even deviates from the expected increase in the price of the virtual option to the real option. Why?
The high probability is that the arbitrage safety cushion brought by delivery is not thick enough to cover delivery costs.
First of all, the subject of commodity options is futures options. After the expiration of the commodity option, if the investor does not choose to close the position, the following situations will occur: 1. After the real option expires, the exchange will exercise automatically. If the investor buys the call / put option, the exchange allocates the buy / sell futures contract to the investor according to the exercise price; 2. After the virtual option expires, if the buyer does not choose to apply for the exercise, the option contract will expire meaninglessly. If the buyer chooses to exercise the right, the corresponding option contract will be bought / sold at the agreed price.
Based on the above delivery rulesGamesforcryptoLet's review why the real value of SM406C9000 contracts is close to zero. The SM406 contract closed today at 9006 points, with a 10-point spread between the selling price and the buying price, with a selling price of 9012 and a buying price of 9002. Based on the delivery rules, when the SM406C9000 contract expires, the option buyer automatically exercises the right to buy the SM406 futures contract at a price of 9000, which becomes a long position. According to the regulations of the futures company, the delivery cost is 2. 5%Gamesforcrypto.5 yuan. Therefore, on this basis, the delivery price must exceed 9000.5 in order to make a profit.
In addition, the vast majority of arbitrage investors will hedge against such strategies, selling futures contracts before the close as short positions on the futures side and hedging long contracts for delivery. Bilateral unlocking fees for SM406 futures contracts also need to be taken into account. Take our handling fee of 30 yuan / hand as an example, the handling fee for short futures plus bilateral unlocking is 30 yuan * 3 yuan 2.5 yuan 92.5 yuan, and the total delivery cost of the arbitrage side is converted into 18.5 yuan.
To sum up, without taking into account the price difference between futures and locked positions, the delivery price must be greater than 9018.5 before delivery can be profitable. Therefore, after the real value of the SM406C9000 contract did not continue today's increase, investors have chosen to close their positions at the end of the day, resulting in the final parity option price returning to zero.
Source: Zijin Tianfeng Futures official website