Thesis (doctoral)--Universität zu Breslau.

Thesis (doctoral)--Ruprecht-Karl-Universität zu Heidelberg.

The purpose of this thesis is to examine the use of commodity derivatives in the oil market. The thesis itself is divided into two main parts - theoretical and practical. The theoretical part is mainly focusing on the description of commodity derivatives in the oil market and the explanation of the mechanism of most often used derivative contracts. The second and more practical part of the thesis examine the use of these derivatives and all benefits and risks associated with trading in commodity derivatives. The potential threats arising from using derivatives as oil market contracts are explained on the example of corporate trading strategy of Matallgesellschaft AG.

by Lam Chi-keung, Wallace, Ng Kim-hung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1995. / Includes bibliographical references (leaves 41-44). / ABSTRACT --- p.iii / ACKNOWLEDGEMENTS --- p.iv / TABLE OF CONTENTS --- p.v / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / LIST OF APPENDICES --- p.viii / CHAPTER / INTRODUCTION --- p.1 / DEVELOPMENT OF METHODOLOGY --- p.7 / cost-of-carry model --- p.7 / Stock Index Futures --- p.9 / Borrowing and Lending Rates --- p.12 / Transaction Costs --- p.13 / Calendar Spread in Stock Index Futures --- p.15 / Discrete Dividend --- p.15 / Futures Spread --- p.16 / SCOPE OF STUDY --- p.18 / Spread and Discrepancy --- p.18 / Trading Rule --- p.18 / Predicting Market Price by Equilibrium Futures Price --- p.21 / DATA --- p.22 / RESULTS --- p.26 / Descriptive Statistics --- p.26 / Stimulated Trading Rule --- p.27 / Regression Analysis --- p.28 / CONCLUSION AND DISCUSSION --- p.29 / APPENDIX --- p.31 / BIBLIOGRAPHY --- p.38

[pt] O Setor Elétrico Brasileiro sofreu diversas mudanças regulatórias ao longo da década de 90, entretanto, após o racionamento de energia ocorrido entre 2001 e 2002 observou-se a necessidade de adoção de um arcabouço regulatório mais moderno e eficiente. Dentre as mudanças implementadas pelo novo modelo, destacamos a competição livre de preços para o setor de geração e o Ambiente de Comercialização Livre como as mais disruptivas. Essas mudanças, além de incentivar a modicidade tarifária, permitiu que os agentes do setor se protegessem de variações do preço da energia elétrica por meio de contratos futuros/a termo. Diferente dos mercados desenvolvidos que possuem um mecanismo formal de livre comercialização por meio de uma estrutura de bolsa centralizada, o Brasil ainda mantém um mercado informal através de uma estrutura de balcão descentralizado. Esse quadro resulta em uma falta de transparência nos preços, e que gera dificuldade na obtenção de dados e análise assertiva do comportamento do mercado futuro/a termo de energia elétrica brasileiro. O crescimento do mercado a termo brasileiro, em tamanho e importância, registrado nos últimos anos justifica a necessidade de aprofundamento das análises desse mercado. O objetivo deste trabalho é compreender o comportamento dos preços a termo em relação ao preço esperado à vista futuro a partir de uma metodologia de coleta de dados de mercado. O resultado do estudo aponta comportamento de contango para os contratos de 2017 com maturidade para 2018. O resultado é aderente a estudos realizados em mercados maduros para contratos com tempo de maturidade reduzido. / [en] The Brazilian Electricity Sector has undergone several regulatory changes throughout the 1990s, however, the energy rationing between 2001 and 2002, showed the need to adopt a more modern and efficient regulatory framework. Among the changes implemented by the new model, the free competition prices for the generation sector and a Free Trading Environment stands out as the most disruptives. These changes, as well as encourage tariff modicity, also allowed the players to hedge against changes in the electricity prices through futures/forward contracts. Unlike developed markets that have formal mechanism for free trading through a centralized stock exchange structure, Brazil still maintains an informal market through a decentralized counter structure, this situation results in a lack of transparency in the prices that generate difficulty in obtaining data and assertive analysis of the Brazilian futures/forward market behavior. The growth of the Brazilian forward market, in size and importance, recorded in recent years, justifies the need to deepen the analysis of this market. The objective of this paper is to understand the behavior of forward prices in relation to the expected future spot price based on market data collection methodology. The result of the study shows a contango behavior for the contracts of 2017 with maturity to 2018. The result is adherent to studies conducted in mature markets with reduced maturity time contracts.

Generally, investment in commodity ETFs cannot produce similar performance as well as spot goods. Evidence shows that ¡§rolling¡¨ futures positions experience ¡§contango and the effects on contango will harm ETFs¡¨ value. This study shows that two ETFs, USO and UNG, underperform the spot substantially because of rolling in the crude oil and natural gas market, respectively. In this study we employ four energy sector futures market data from the Thomson Reuters to investigate the impact of rolling positions on the relation between commodity index funds and in contango/backwardation. This paper finds that increasing trading in commodity index fund made futures market more contango in the WTI crude oil, natural gas and heating oil markets. This study termed the strategy as the Backwardation Sensitive Trading (BST) . Moreover, this research designs an investment strategy based on variation of backwardation. That is to examine whether BST can make a successful arbitrage: increase holding when the market is more contango and decrease holding when the market is more backwardation. Our strategy performs better than USO and UNG, and those performances perform lower tracking error on oil and natural gas over 2006 to 2010.

[pt] Na década de 1990, diversos países, inclusive o Brasil, entre 1996 e 2003, iniciaram a reestruturação de seus setores elétricos e criaram mercados livres para negociação de energia. O crescimento desses mercados tem demandado a adaptação de instrumentos financeiros de gestão de riscos e retornos as suas especificidades. No Brasil, o mercado tem, ainda, uma estrutura de balcão desorganizado e descentralizado, o que dificulta seu aprendizado. Os contratos a termo de energia elétrica, negociados bilateralmente, no país, são o principal instrumento para a mitigação de riscos e a avaliação de investimentos. Nesse contexto, o objetivo deste estudo é compreender melhor a dinâmica dos preços a termo de energia elétrica praticados no Brasil. Assim, é proposto um método para construção de curvas a termo com base apenas em informações de mercado e feita uma primeira aplicação dessa metodologia. Alguns indícios ficaram, então, evidentes sobre o comportamento do mercado brasileiro a termo de energia elétrica: configuração de contango em alguns períodos, presença de elevados prêmios de risco e aderência apenas relativa dos preços a termo às expectativas de futuros preços à vista. Estudos realizados a partir de mercados estruturados de energia elétrica suportam essas evidências. / [en] In the 1990s, several countries, including Brazil, between 1996 and 2003, began to restructure their electricity sectors and established free markets for energy trading. The growth of these markets has required the adaptation of financial instruments for risk management and return to their specifications. In Brazil, the market has still a disorganized and decentralized OTC (over the counter market) structure, which hinders their learning. The forward contracts for electricity, negotiated bilaterally, in the country, are the primary instrument to mitigate risks and evaluate investments. In this context, the objective of this study is to better understand the dynamics of the forward price of electricity negotiated in Brazil. Thus, we propose a method to construct the forward curve based only on market information and made a first application of this methodology. Some clues were then evident on the behavior of the Brazilian forward market of electricity: contango set in certain periods, presence of high risk premiums and only partial adherence of forward prices on the expectations of future spot prices. Studies based on structured electricity markets support these evidences.

This study investigates how term structure dynamics of VIX futures can be exploited forabnormal returns. To be able to access volatility as a tradeable asset, the trading strategiesonly trades ETFs which are designed to replicate the movements of VIX futures index. Itis established that such ETFs are unsuitable for buy-and-hold investments because of thenegative roll yield it usually suffers, caused by the slope of the VIX term structure.Consequently, these conditions create opportunities for strategies that use direct andinverse VIX ETFs to be profitable. The study is a quantitative study that uses historicalprice data to back test three different trading strategies. The strategies are tested over theperiod 11-oct-2011 to 31-mar-2020. The authors have deliberately chosen to delimit thestudy by not testing the performance of the ETFs, not statistically test the risk-adjustedreturns and not perform a regression to calculate optimal hedge ratios for the strategies.The results from this study shows that its possible for strategies that exploit the termstructure dynamics of VIX futures to generate abnormal returns.