Case Study of December 2009 ICE Cotton Futures and Options

Discussion

This graph shows daily settlement prices for Dec’09 futures (blue line) from about fourteen months out through expiration. The green and red lines show the premium value associated with 70-cent put and call options, respectively.

Dec’09 futures traded in an unprofitable range between 50 and 70 cents, providing few hedge-able opportunities except perhaps in the early fall of 2008.

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