RISK MANAGEMENT
HEDGING ALTERNATIVES
USING LIVE CATTLE OPTIONS
FOR
FEBRUARY LIVE CATTLE 2015
HISTORIC AVG VOLATILITY
12.3%
PREPARED BY CattleHedging.com
HISTORIC AVG RANGE 11.9% to 26.6%
13.1%
IMPLIED VOLATILITY
STRIKE PRICE
implied volatility (%)
CALLS
PREMIUM (cwt.)
INT. VALUE
TIME/VOLATILITY
PUTS
$ COST
FLOOR
EXPIRES 06-Feb-15
TODAY'S CLOSE
$149.00
19.3%
$150.00
18.6%
$153.05
$151.00
18.2%
$152.00
17.8%
20-Jan-15
$153.00
17.9%
$154.00
17.8%
$155.00
18.0%
$4.95
4.05
0.90
$4.20
3.05
1.15
$3.53
2.05
1.47
$2.90
1.05
1.85
$2.38
0.05
2.32
$1.90
0.00
1.90
$1.53
0.00
1.53
$1,980
$1,680
$1,410
$1,160
$950
$760
$610
CALLS
PUTS
G
A
M
M
A
D
E
L
T
A
T
H
E
T
A
V
E
G
A
(HD)
$155.00
18.1%
$3.48
1.95
1.53
151.53
$1,390
$43
150.48
1.48
156.48
150.73
0.73
155.73
151.05
0.05
155.05
151.43
-0.58
154.43
151.90
-1.10
153.90
152.43
-1.58
153.43
153.05
-1.95
153.05
67%
8%
0.046 0.120
$154.00
17.8%
$2.85
0.95
1.90
151.15
$1,140
$36
151.10
2.10
156.10
151.35
1.35
155.35
151.68
0.68
154.68
152.05
0.05
154.05
152.53
-0.48
153.53
153.05
-0.95
153.05
153.68
-1.33
152.68
58%
9%
0.050 0.129
$153.00
17.9%
$2.33
0.00
2.33
150.68
$930
$29
151.63
2.63
155.63
151.88
1.88
154.88
152.20
1.20
154.20
152.58
0.58
153.58
153.05
0.05
153.05
153.58
-0.43
152.58
154.20
-0.80
152.20
49%
9%
0.051 0.132
$152.00
17.8%
$1.85
0.00
1.85
150.15
$740
$23
152.10
3.10
155.10
152.35
2.35
154.35
152.68
1.68
153.68
153.05
1.05
153.05
153.53
0.53
152.53
154.05
0.05
152.05
154.68
-0.33
151.68
40%
9%
0.049 0.127
$151.00
18.2%
$1.48
0.00
1.48
149.53
$590
$18
152.48
3.48
154.48
152.73
2.73
153.73
153.05
2.05
153.05
153.43
1.43
152.43
153.90
0.90
151.90
154.43
0.43
151.43
155.05
0.05
151.05
31%
8%
0.045 0.117
$150.00
107.4%
$10.15
0.00
10.15
139.85
$4,060
$127
143.80
-5.20
144.80
144.05
-5.95
144.05
144.38
-6.63
143.38
144.75
-7.25
142.75
145.23
-7.78
142.23
145.75
-8.25
141.75
146.38
-8.63
141.38
23%
7%
0.039 0.101
PUTS
PUTS
C
A
DELTA
GAMMA
L
THETA
0.032
0.039
0.045
0.049
0.051
0.050
0.046 L
L
S
VEGA
0.083
0.101
0.117
0.127
0.132
0.129
0.120 L
S
SELL
BUY CALL
COST ($)
COST/HD
MKT UP
MKT DN
83%
6%
76%
7%
69%
8%
FEBRUARY LIVE CATTLE 2015
$149.00
$1,980
$54.45
($0.90)
$148.10
60%
9%
51%
9%
at $153.05
42%
9%
33% C
8% A
plus BASIS = HEDGE
$150.00
$151.00
$152.00
$153.00
$154.00
$1,680
$1,410
$1,160
$950
$760
$46.20
$38.78
$31.90
$26.13
$20.90
($1.15)
($1.47)
($1.85)
($2.32)
($2.85)
$148.85
$149.53
$150.15
$150.68
$151.15
(LOOK at FEEDER CATTLE CALLS as an ALTERNATIVE)
$155.00
$610
$16.78
($3.47)
$151.53
NOTE: $ COSTS DO NOT INCLUDE COMMISSION OR NFA FEES.
Prices do not include BASIS or adjust for BASIS RISK.
Apply your own local BASIS (CASH-FUTURES).
OPTIONS STRATEGIES for LIVE CATTLE
CattleHedging.com
866-HEDGE-11
1/20/2015
OPTIONS
RISK MANAGEMENT
HEDGING ALTERNATIVES
USING LIVE CATTLE OPTIONS
FOR
APRIL LIVE CATTLE 2015
11.0%
HISTORIC AVG VOLATILITY
HISTORIC AVG RANGE 11.9% to 26.6%
12.7%
IMPLIED VOLATILITY
STRIKE PRICE
implied volatility (%)
CALLS
PREMIUM (cwt.)
INT. VALUE
TIME/VOLATILITY
PUTS
$ COST
FLOOR
EXPIRES 01-Apr-15
PREPARED BY CattleHedging.com
TODAY'S CLOSE
$148.00
-3.1%
$149.00
-0.6%
$151.08
$150.00
1.3%
$151.00
2.9%
20-Jan-15
$152.00
4.2%
$153.00
5.3%
$154.00
9.1%
$1.23
3.07
-1.85
$1.08
2.07
-1.00
$0.93
1.07
-0.15
$0.80
0.07
0.73
$0.70
0.00
0.70
$0.60
0.00
0.60
$1.23
0.00
1.23
$490
$430
$370
$320
$280
$240
$490
CALLS
D
E
L
T
A
PUTS
G
A
M
M
A
T
H
E
T
A
V
E
G
A
(HD)
$154.00
57.9%
$16.45
2.93
13.53
137.55
$6,580
$206
132.78
-15.23
138.78
133.63
-15.38
138.63
134.48
-15.53
138.48
135.35
-15.65
138.35
136.25
-15.75
138.25
137.15
-15.85
138.15
138.78
-15.23
138.78
62%
4%
0.023 0.252
$153.00
55.4%
$15.53
1.93
13.60
137.48
$6,210
$194
133.70
-14.30
138.70
134.55
-14.45
138.55
135.40
-14.60
138.40
136.28
-14.73
138.28
137.18
-14.83
138.18
138.08
-14.93
138.08
139.70
-14.30
138.70
58%
5%
0.023 0.260
$152.00
53.5%
$14.63
0.93
13.70
137.38
$5,850
$183
134.60
-13.40
138.60
135.45
-13.55
138.45
136.30
-13.70
138.30
137.18
-13.83
138.18
138.08
-13.93
138.08
138.98
-14.03
137.98
140.60
-13.40
138.60
53%
5%
0.024 0.264
$151.00
52.0%
$13.73
0.00
13.73
137.28
$5,490
$172
135.50
-12.50
138.50
136.35
-12.65
138.35
137.20
-12.80
138.20
138.08
-12.93
138.08
138.98
-13.03
137.98
139.88
-13.13
137.88
141.50
-12.50
138.50
48%
5%
0.024 0.265
$150.00
51.0%
$12.85
0.00
12.85
137.15
$5,140
$161
136.38
-11.63
138.38
137.23
-11.78
138.23
138.08
-11.93
138.08
138.95
-12.05
137.95
139.85
-12.15
137.85
140.75
-12.25
137.75
142.38
-11.63
138.38
44%
5%
0.023 0.262
$149.00
50.3%
$12.00
0.00
12.00
137.00
$4,800
$150
137.23
-10.78
138.23
138.08
-10.93
138.08
138.93
-11.08
137.93
139.80
-11.20
137.80
140.70
-11.30
137.70
141.60
-11.40
137.60
143.23
-10.78
138.23
39%
5%
0.023 0.255
PUTS
PUTS
C
A
L
L
S
DELTA
GAMMA
THETA
VEGA
SELL
BUY CALL
COST ($)
COST/HD
MKT UP
MKT DN
65%
4%
0.022
0.245
61%
5%
0.023
0.255
56%
5%
0.023
0.262
APRIL LIVE CATTLE 2015
$148.00
$490
$13.48
$1.85
$149.85
51%
5%
0.024
0.265
47%
5%
0.024
0.264
at $151.08
42%
5%
0.023
0.260
38%
4%
0.023
0.252
C
A
L
L
S
plus BASIS = HEDGE
$149.00
$150.00
$151.00
$152.00
$153.00
$430
$370
$320
$280
$240
$11.83
$10.18
$8.80
$7.70
$6.60
$1.00
$0.15
($0.73)
($1.63)
($2.53)
$150.00
$150.15
$150.28
$150.38
$150.48
(LOOK at FEEDER CATTLE CALLS as an ALTERNATIVE)
$154.00
$490
$13.48
($4.15)
$149.85
NOTE: $ COSTS DO NOT INCLUDE COMMISSION OR NFA FEES.
Prices do not include BASIS or adjust for BASIS RISK.
Apply your own local BASIS (CASH-FUTURES).
OPTIONS STRATEGIES for LIVE CATTLE
CattleHedging.com
866-HEDGE-11
1/20/2015
OPTIONS
RISK MANAGEMENT
HEDGING ALTERNATIVES
USING LIVE CATTLE OPTIONS
FOR
JUNE LIVE CATTLE 2015
11.0%
HISTORIC AVG VOLATILITY
HISTORIC AVG RANGE 11.9% to 26.6%
12.7%
IMPLIED VOLATILITY
STRIKE PRICE
implied volatility (%)
CALLS
PREMIUM (cwt.)
INT. VALUE
TIME/VOLATILITY
PUTS
$ COST
FLOOR
EXPIRES 06-Jun-15
PREPARED BY CattleHedging.com
TODAY'S CLOSE
$136.00
17.0%
$138.00
16.5%
$145.13
$140.00
15.9%
$142.00
15.5%
20-Jan-15
$144.00
15.2%
$146.00
14.9%
$148.00
14.6%
$11.33
9.13
2.20
$9.83
7.13
2.70
$8.40
5.13
3.28
$7.08
3.13
3.95
$5.90
1.13
4.78
$4.83
0.00
4.83
$3.90
0.00
3.90
$4,530
$3,930
$3,360
$2,830
$2,360
$1,930
$1,560
CALLS
D
E
L
T
A
PUTS
G
A
M
M
A
T
H
E
T
A
V
E
G
A
(HD)
$148.00
14.7%
$6.78
2.88
3.90
141.23
$2,710
$85
140.55
4.55
152.55
141.05
3.05
151.05
141.63
1.63
149.63
142.30
0.30
148.30
143.13
-0.88
147.13
144.05
-1.95
146.05
145.13
-2.88
145.13
58%
3%
0.016 0.344
$146.00
14.9%
$5.70
0.88
4.83
140.30
$2,280
$71
141.63
5.63
151.63
142.13
4.13
150.13
142.70
2.70
148.70
143.38
1.38
147.38
144.20
0.20
146.20
145.13
-0.88
145.13
146.20
-1.80
144.20
51%
4%
0.016 0.352
$144.00
15.2%
$4.78
0.00
4.78
139.23
$1,910
$60
142.55
6.55
150.55
143.05
5.05
149.05
143.63
3.63
147.63
144.30
2.30
146.30
145.13
1.13
145.13
146.05
0.05
144.05
147.13
-0.88
143.13
44%
3%
0.016 0.349
$142.00
15.4%
$3.95
0.00
3.95
138.05
$1,580
$49
143.38
7.38
149.38
143.88
5.88
147.88
144.45
4.45
146.45
145.13
3.13
145.13
145.95
1.95
143.95
146.88
0.88
142.88
147.95
-0.05
141.95
37%
3%
0.015 0.335
$140.00
15.8%
$3.28
0.00
3.28
136.73
$1,310
$41
144.05
8.05
148.05
144.55
6.55
146.55
145.13
5.13
145.13
145.80
3.80
143.80
146.63
2.63
142.63
147.55
1.55
141.55
148.63
0.63
140.63
31%
3%
0.014 0.310
$138.00
16.3%
$2.70
0.00
2.70
135.30
$1,080
$34
144.63
8.63
146.63
145.13
7.13
145.13
145.70
5.70
143.70
146.38
4.38
142.38
147.20
3.20
141.20
148.13
2.13
140.13
149.20
1.20
139.20
24%
3%
0.012 0.278
PUTS
PUTS
C
A
L
L
S
DELTA
GAMMA
THETA
VEGA
SELL
BUY CALL
COST ($)
COST/HD
MKT UP
MKT DN
80%
2%
0.011
0.240
75%
3%
0.013
0.278
69%
3%
0.014
0.310
JUNE LIVE CATTLE 2015
$136.00
$4,530
$124.58
($2.20)
$133.80
62%
3%
0.015
0.335
55%
3%
0.016
0.349
at $145.13
48%
4%
0.016
0.352
41%
3%
0.016
0.344
C
A
L
L
S
plus BASIS = HEDGE
$138.00
$140.00
$142.00
$144.00
$146.00
$3,930
$3,360
$2,830
$2,360
$1,930
$108.08
$92.40
$77.83
$64.90
$53.08
($2.70)
($3.28)
($3.95)
($4.78)
($5.70)
$135.30
$136.73
$138.05
$139.23
$140.30
(LOOK at FEEDER CATTLE CALLS as an ALTERNATIVE)
$148.00
$1,560
$42.90
($6.78)
$141.23
NOTE: $ COSTS DO NOT INCLUDE COMMISSION OR NFA FEES.
Prices do not include BASIS or adjust for BASIS RISK.
Apply your own local BASIS (CASH-FUTURES).
OPTIONS STRATEGIES for LIVE CATTLE
CattleHedging.com
866-HEDGE-11
1/20/2015
OPTIONS

Homework 1

HW#4

-1- Index to The Flutist Quarterly, Vols. XVI