Case Study of December 2007 ICE Cotton Futures and Options

This graph shows daily settlement prices for Dec’07 futures from about fourteen months out through expiration. The blue and pink lines show the premium value associated with 60-cent put and call options, respectively. This year saw harvest futures prices trading in a higher level than either Dec05 or Dec06. However, futures in the 60s are still probably too low for meaningful hedging opportunities above and beyond that provided by the CCC loan value.

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