| Date: | Jan 12, 2011 | ||
Futures Market
The Long Hedge
Ccreating a fixed price by buying Corn futures
| Market | Sale | Historical | Expected | |
| Contract | Close | Month | Basis | Net Price |
| Mar | $6.11 | Feb | -$0.18 | $5.93 |
| May | $6.18 | Apr | -$0.20 | $5.98 |
| Jul | $6.23 | Jun | -$0.14 | $6.09 |
Options Market
| Corn Option Quotes | |||||||||||
| Strike | Call | Mar | Put | Strike | Call | May | Put | Strike | Call | Jul | Put |
| $6.20 | $0.19 | $6.40 | $0.27 | $6.40 | $0.41 | ||||||
| $6.15 | $0.21 | $6.30 | $0.30 | $6.30 | $0.45 | ||||||
| $6.10 | $0.23 | $6.20 | $0.35 | $6.20 | $0.50 | ||||||
| $6.05 | $0.19 | $6.10 | $0.31 | $6.10 | $0.41 | ||||||
| $6.00 | $0.17 | $6.00 | $0.26 | $6.00 | $0.37 | ||||||
Buying a Call
Creating a maximum price by buying Corn Call Options
| Call | Feb | Expected | Call | Apr | Expected | Call | Jun | Expected | |||
| Strike | Premium | Basis | Max Price | Strike | Premium | Basis | Max Price | Strike | Premium | Basis | Max Price |
| $6.20 | $0.19 | -$0.18 | $6.21 | $6.40 | $0.27 | -$0.20 | $6.47 | $6.40 | $0.41 | -$0.14 | $6.67 |
| $6.15 | $0.21 | -$0.18 | $6.18 | $6.30 | $0.30 | -$0.20 | $6.40 | $6.30 | $0.45 | -$0.14 | $6.61 |
| $6.10 | $0.23 | -$0.18 | $6.15 | $6.20 | $0.35 | -$0.20 | $6.35 | $6.20 | $0.50 | -$0.14 | $6.56 |
The Fence
Creating a maximum price at a cheaper cost
by Buying Corn Call Options
and Selling Put Options
| Call | Put | Call | Put | Feb | Expected | Expected |
| Strike | Strike | Premium | Premium | Basis | Max Price | Min. Price |
| $6.15 | $6.05 | $0.21 | $0.19 | -$0.18 | $5.99 | $5.89 |
| $6.20 | $6.00 | $0.19 | $0.17 | -$0.18 | $6.04 | $5.84 |
| Call | Put | Call | Put | Apr | Expected | Expected |
| Strike | Strike | Premium | Premium | Basis | Max Price | Min. Price |
| $6.30 | $6.10 | $0.30 | $0.31 | -$0.20 | $6.09 | $5.89 |
| $6.40 | $6.00 | $0.27 | $0.26 | -$0.20 | $6.21 | $5.81 |
| Call | Put | Call | Put | Jun | Expected | Expected |
| Strike | Strike | Premium | Premium | Basis | Max Price | Min. Price |
| $6.30 | $6.10 | $0.45 | $0.41 | -$0.14 | $6.20 | $6.00 |
| $6.40 | $6.00 | $0.41 | $0.37 | -$0.14 | $6.30 | $5.90 |
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Dillon M Feuz