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© 2010, ScienceHuβ, http://www.scihub.org/AJSMS

Dontwi, I. K., Dedu, V.K. and Davis, R.

Department of Mathematics,

Kwame Nkrumah University of Science and Technology, Kumasi-Ghana

ABSTRACT

This study shows how options can be used for hedging crude oil price risk in accordance with

broad-based hedging strategies. Furthermore, it demonstrates how options are priced using the

Black-Scholes model and the benefits of hedging via options. The potential losses and gains

anticipated through hedging are illustrated using the scenario in the context of the current oil finds

in commercial quantities in Ghana.

Keywords: Hedging, Black-Scholes model, volatility, risk, options.

Governments have explored the possibilities of type, delivery or settlement procedure of the

hedging crude oil price as part of its measures to underlying asset, the expiry date, and the strike price

minimize the impact of the risk of exposure to for the contract (Long, 2000).

international crude oil prices on the economy.

Specifications of Option Contracts

Hedging is the process in which an organization with Hull (2006) defines option as the right to buy or sell

energy price risk will take a position in a derivative an asset. Options work like insurance. According to

instrument that gives an equal and opposite financial Natenberg (1994), they provide the buyer (or option

exposure to the underlying physical position to holder) with protection against the adverse effects of

protect against major price changes. unpredictable future price movements in exchange

for a fixed payment (or premium) that is paid in

advance to the seller (or option writer).

Derivative transaction is a bilateral contract whose

value is derived from the value of some underlying There are two basic types of option contract: Call

assets. There are Exchange traded derivatives and options, which give the holder the right to buy and

Over-the-counter (OTC) derivatives, executable Put options, which give the holder the right to sell

through four derivative instruments that include (McDonald, 2006).

Forwards, Futures, Swaps and Options

The buyer of a call option pays a premium to the

Options: Options are different from other trading seller and, in return, has the right (but not obligated)

instruments because they give the option holders the to buy a specific amount and type of oil at a fixed

right, but not the obligation, to buy (or sell) an price, before or at a given date. The buyer of a put

underlying asset at a specified price during an agreed option pays a premium to the seller and, in return,

period of time. As a result, an option contract will only has the right (but not obligated) to sell a specific

be exercised if the market moves in favor of the amount and type of oil at a fixed price, before or at a

holder. They are more flexible than forwards or given date. The fixed pre-determined price at which

futures, which can only be used to take a long or the holder of the option can buy or sell the underlying

short positions (Cherry, 2007). asset is usually known as the strike price or exercise

price. The date agreed in the contracts is usually

Energy options are currently traded both on the known as the expiration date, exercise date or the

regulated futures exchanges and on the unregulated maturity of the option.

OTC market. Exchange traded energy options are

based on futures contracts and are standardized There are two basic methods of exercising options:

contracts. The settlement terms are fixed, the expiry the American options, which can be exercised at

dates are fixed, and only a limited range of strike any time up to the expiry date, the European

prices are quoted at any point in time (Natenberg, options, which can only be exercised on the expiry

1994). OTC options are more flexible as they can be date. Exchange traded options are all American,

tailored to meet any set of specifications required.

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

while OTC options can be of either type. Some option Payoff on a written call= -max[0, ST-K]. This is shown

writers prefer to sell European options as this allows in Figure 2.3 below.

them to plan their exposure more accurately. We will

be dealing with European options in this paper. Payoff

option trading positions, each of which has its own

characteristic profile of risk and reward. The first is to

buy a call. That is, purchase an option to buy the 0

underlying commodity or asset. K ST

parties on a particular date. Using the usual notation

in the financial literature, if K is the strike price and ST

is the spot price at expiration, then

Payoff on a purchased call= max[0, ST-K]. This is Fig 2.3: Payoff graph on a written call

shown in Figure 2.1 below.

The fourth is to sell a put. That is, write a contract

Payoff that gives the purchaser the option to sell the

underlying commodity or asset.

Payoff on a written put= -max[0, K-ST]. This is shown

in Figure 2.4 below.

Payoff

0

K ST 0

K ST

Fig 2.1: Payoff graph on a purchased call.

-K

The second is to buy a put. That is, purchase an

option to sell the underlying commodity or asset.

Payoff on a purchased put= max[0, K-ST]. This is

shown in Figure 2.2 below.

Fig 2.4: Payoff graph on a written put

Payoff

The profit on a position= payoff on position-future

value of net cost on position.

Cost is positive when premium is paid in attaining

K the position and it’s negative when premium is

received. Therefore, net cost can be positive or

negative.

option pricing. It measures the likely magnitude of

K ST price changes over a given period, and is expressed

Fig 2.2: Payoff graph on a purchased put as a percentage of the underlying market price.

Volatility is calculated as the annualized standard

The third is to sell a call. That is write a contract that deviation of the distribution of percentage changes in

gives the purchaser the option to buy the underlying daily prices, which is assumed to be a normal

commodity or asset. distribution. The time value of an option increases

68

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

with the volatility of the market. If volatility is expected In the early 1970’s, Fischer Black, Myron Scholes

to be low, the future trading range will be narrower and Robert Merton made a major breakthrough in the

and the present value of the potential income stream pricing of stock options. This involved the

from holding an option will be smaller since there is a development of what has become known as the

lower probability of a large change in prices before Black-Scholes model. The model has had a huge

expiry. However, if volatility is expected to be high, influence on the way that traders price and hedge

the future trading range will be wider and the present options.

value of the potential income stream from holding an

option will be larger since there is a higher probability Assumptions

of a large change in prices before expiry (Natenberg, The Black-Scholes model is based on a few

1994). simplifying assumptions.

1. Stocks pay no dividends during the life of the

There are two types of price volatility used in pricing option.

options. These are the Historical volatility and the 2. The Black-Scholes model only prices European

Implied volatility. call options.

3. No commissions are charged.

Historical volatility – as its name suggests – is the 4. Interest rates and volatility remain constant and

range that prices have traded in over a given period known.

in the past. Historical volatility allows us to see how 5. Stock prices are lognormally distributed.

prices have behaved under known market conditions. 6. Markets are efficient.

From this, we may be able to build a confidence level 7. Shares of a stock can be divided.

to help us in assessing the predictability of current

situations. Volatility is defined in terms of variations in Brownian Motion

the proportionate change in price. Therefore, when The Black-Scholes formula is a closed-form formula

finding an estimated value of it, we must take the for evaluating the value of a European option. This

standard deviation of ln(St/St-1). We observe these pricing is based on the assumption that the

ratios daily, weekly or monthly and obtain an estimate movement of asset prices follows some sort of

of daily, weekly or monthly volatility. Then we multiply random walk. A (one-dimensional) discrete random

this by the square root of 365 over the unit (that is, walk models somebody starting out on the x-axis at

365 for days, 52 for weeks, 12 for months) to obtain the point 0 and then moving left or right at the rate of

the annual volatility (Weishaus, 2008). 1 per unit time, with the direction being chosen

randomly. Suppose that instead of moving 1 per unit

Choosing an appropriate number of data to be used of time, we moved h per h units of time and took

in the volatility estimation is not easy. More data

generally lead to more accuracy, but volatility does the limit as h → 0 . Then we would have a

change over time and data that are too old may not continuous random walk which is a normal random

be relevant for predicting the future volatility. An variable, and we would have Brownian motion. This

often-used rule of thumb is to set the number of data is also known as the Wiener process (Weishaus,

equal to the number of days to which the volatility is 2008).

to be applied. Thus, if the volatility estimate is to be Brownian motion Z (t ) is a random process, a

used to value a 1-year option, data for the last year is collection of variables indexed by time t , defined by

used (Hull, 2006). the following properties:

1. Z (0) = 0

Implied volatility is the range that prices are expected

to trade over a given period in the future. Implied 2. Z (t ) has a normal distribution with mean

values are calculated by inputting option premiums

into an option pricing model. 0 and variance t .

Black-Scholes Pricing Model: In financial terms,

the price of an option is simply the present value of 3. Increments are independent

the future income stream that can be expected from

holding the option contract (Fusaro, 1998).

4. Z (t ) is continuous in t .

stochastic process. A Markov process is a stochastic

69

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

process where only the present value of a variable is future time T is normally distributed, with mean

relevant for predicting the future. The third property of (α − 0.5σ 2 )T and variance σ 2T . That is,

the Brownian motion stated above implies that Z (t )

follows a Markov process.

ln ST − ln S 0 ~ N ⎡⎣ (α − 0.5σ 2 )T , σ 2T ⎤⎦

Arithmetic Brownian motion (or the generalized or

Weiner process) consists of a Brownian motion

scaled by multiplication and shifted by addition. The

mean change per unit time for a stochastic process is

ln ST ~ N ⎡⎣ ln S 0 + (α − 0.5σ 2 )T , σ 2T ⎤⎦

known as the drift rate and the variance per unit time Which shows that ST follows a lognormal

is known as the variance rate. If X (t ) is an

distribution.

arithmetic Brownian motion (and note that Z (t ) is In a risk-neutral world, α is replaced with the

Brownian motion), then continuous compound interest rate r .

X ( t ) = α t + σ Z (t ) The principle of risk-neutral valuation implies that the

Thus, X (t + s ) − X (t ) has a normal distribution with present value of the option is the expected final value

of the option discounted at the risk-free interest rate.

mean α s and variance σ 2 s . Let us consider a call option, which is known to have

α is the expected drift rate per unit of time and σ is a final value of max( ST − K , 0) at time T . By the

called the volatility of the process.

Arithmetic Brownian motion is not a good model for risk-neutral principle, the premium, C paid for this

stock price movement because, it can go negative option at time 0 is

and does not scale with stock price; one would

C = e− rT E[max( ST − K , 0)]

expect the proportional movement of stock price,

rather than the arithmetic movement, to follow a ∞

= e− rT ∫ (ST − K ) f ( ST )dST

K

distribution to a lognormal distribution, we transform where f ( ST ) , the probability density function of

arithmetic Brownian motion to geometric Brownian

motion. ST (lognormal) can be explicitly written as

⎛ 1 ⎞

To calculate the distribution of a geometric Brownian

⎜ − [lnST −(lnS0 +(r −0.5σ2)T)]2

motion X (u ) , let t be the latest time for which you 1

f (ST ) = exp⎜ 2

have the value of X (t ) . Then ln X (t + s ), s > 0 , is σST 2πT ⎜ σ2T

normally distributed with mean ⎝ ⎠

ln X (t ) + (α − 0.5σ ) s and variance σ s . For a

2 2

⎛ 1 ⎞

⎜ − [lnST −(lnS0 +(r−0.5σ2)T)]2 ⎟

stock with annual continuous return α and annual ∞ 1

C=e−rT ∫ (ST −K) exp⎜ 2 ⎟dST

continuous dividend δ , the drift will be α − δ . σST 2πT ⎜ σ2T ⎟

K

The value at time t of a geometric Brownian motion ⎝ ⎠

with drift α and volatility σ can be expressed as

Solving this integral, we get

ln X (t ) = ln X (0) + (α − 0.5σ 2 )t + σ Z (t )

C = S 0 N ( d1 ) − Ke − rT N ( d 2 ) (4.2)

(4.1)

where

⎛S ⎞ ⎛ σ ⎞

2

The Black-Scholes Formula

ln ⎜ 0 ⎟ + ⎜ r + ⎟T

From equation (4.1), if ST and S 0 are the prices of ⎝K⎠ ⎝ 2 ⎠

d1 = , and

the underlying security at time T and 0 respectively, σ T

then

⎛S ⎞ ⎛ σ ⎞

2

ln ST = ln S0 + (α − 0.5σ 2 )T + σ Z ln ⎜ 0 ⎟ + ⎜ r − ⎟T

⎝K⎠ ⎝ 2 ⎠

In fact, it can be easily seen from the above equation d2 = = d1 − σ T

that, the change in ln S between time 0 and some σ T

70

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

normal distribution. In other contexts, N ( x ) is known

as Φ(x).

Equation (4.2) is the Black-Scholes formula for a call

option on non-dividend stock.

dividend stock is given by,

P = Ke − rT N (− d ) − S N (− d )

The general form of2 the Black-Scholes

0 1 formula for a

call option is

Fig 5.1: Crude oil prices

C = F P ( S ) N ( d1 ) − F P ( K ) N ( d 2 )

where Hedging with Options: Options can be used to

1 achieve a great variety of possible outcomes

ln( F ( S ) / F ( K )) + σ 2T

P P

depending on the exposure and risk preferences of

d1 = 2 and the user. The next two sections describe common

σ T option trading strategies that are widely used in the

oil industry.

1

ln( F P ( S ) / F P ( K )) − σ 2T Producer Hedge: An oil producer or distributor

d2 = 2 = d1 − σ T would like to hedge the value of its production. On

σ T October 9, 2009 (the day that the data was analyzed)

In this equation, F

P

indicate a pre-paid forward the price of crude oil is $x/barrel. The producer

price (present value of forward price). expects prices to fluctuate during the two years

S is the underlying asset-that is the asset which you period of the hedge (from October 9, 2009 – October

9, 20ll), but is concerned about the risk of prices

may elect to receive at the end of the period, T . K

falling below $y/barrel. If the producer is also

is the strike asset-which is the asset you may elect to

prepared to accept a maximum price of $z/barrel for

pay at the end of the period, T. its production, a combination of put and call options

can be used to hedge. Buy a $y/barrel put option and

Data Analysis: The study was limited to secondary sell a $z/barrel call option. The result of this strategy

data obtained from The Energy Information is to limit the downside and upside price risks to a

Administration on weekly all countries spot price of range between $y/barrel and $z/barrel.

crude oil from January 2006 to October 2009. The

Black-Scholes model is used for the computation of If prices of crude oil fall below $y/barrel at the end of

the options prices and some of the trading strategies two years, the $z call option will be worthless but the

of the options used in hedging commodities like $y put option will be exercised giving the producer

crude oil are looked at. the right to sell its output at $y/barrel, however low

prices go. If prices rise above $z/barrel, the $y put

Figure 5.1 shows the fluctuations in crude oil prices option will be worthless, the $z call option will be

over a period of two years (October 2007-October exercised and the producer will be obliged to sell

2009). crude at $z/barrel, however high prices go. If prices

are between $y/barrel and $z/barrel, neither of the

options will be exercised and the producer sells its

crude at the prevailing market price. This strategy is

known as a collar. The strike price of the option can

be set at any level, but the put and call options must

be equally far out-of-the money if the cost of the put

and call is to be the same. If the costs of the options

are the same, the strategy is known as a zero cost

collar (Cherry, 2007).

71

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

Consumer Hedge: A crude oil consumer has based The values as shown in Table 1 and Table 2 indicate

its crude oil purchasing plan on a maximum price of the profit that would have been realized if a consumer

$x/barrel in two years time. In order to protect (or Ghana Government) had hedged crude oil prices

themselves against a price move above $x/barrel, the in 2007 and 2008 respectively. The spot price for

purchasing department could buy a two years $x call each month is the monthly average crude oil price

option. The result of this strategy is to limit the upside (dollars per barrel) and the volatility is estimated from

price risk so that the maximum price paid by the crude oil prices in the previous year. For the year

company for crude oil would be $x/barrel (Hull, 2006). 2007, the Volatility=0.1915 and for the year 2008, the

Volatility=0.2222.

If prices rise above $x/barrel at the end of two years,

the call option will be exercised and the company can The expiration time is six months (T=0.5) and the

obtain its supplies from the option writer at $x/barrel. strike price is the forward price of the monthly spot

However, if prices remain below $x/barrel, the $x call price (K=S0erT). In fact, these derivative traders

option will not be exercised and the purchasing usually use LIBOR (London Interbank Offer Rate) as

department can meet its plan target with direct short-term risk-free rates. This is because they

purchases on the spot market. However, the regard LIBOR as their opportunity cost of capital. For

purchasing department will lose the premium paid at the year 2007, Interest rate=0.0528 and for the year

the beginning of the transaction (at time 0) for the call 2008, Interest rate=0.0317.

option. The combined profit on the crude oil and

purchased call will then be equal to the profit on the

purchased call.

Date S0 K N(d1) N(d2) C CerT ST Payoff Profit

Jan-07 50.7725 52.1307 0.527 0.473 2.7407 2.814 72.8675 20.7368 17.9227

Feb-07 53.65 55.0852 0.527 0.473 2.896 2.9735 69.478 14.3928 11.4193

Mar-07 58.698 60.2683 0.527 0.473 3.1685 3.2533 73.8825 13.6142 10.361

Apr-07 63.6725 65.3758 0.527 0.473 3.437 3.529 78.155 12.7792 9.25018

May-07 63.905 65.6146 0.527 0.473 3.4496 3.5419 88.862 23.2474 19.7056

Jun-07 66.894 68.6835 0.527 0.473 3.6109 3.7075 87.62 18.9365 15.229

Jul-07 72.8675 74.8168 0.527 0.473 3.9334 4.0386 89.865 15.0482 11.0096

Aug-07 69.478 71.3366 0.527 0.473 3.7504 3.8507 90.816 19.4794 15.6286

Sep-07 73.8825 75.859 0.527 0.473 3.9882 4.0949 100.48 24.621 20.5262

Oct-07 78.155 80.2458 0.527 0.473 4.2188 4.3317 104.98 24.7342 20.4026

Nov-07 88.862 91.2392 0.527 0.473 4.7968 4.9251 118.928 27.6888 22.7637

Dec-07 87.62 89.964 0.527 0.473 4.7297 4.8562 128.063 38.0985 33.2423

Total profit=$207.4606

72

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

Jan-08 89.865 91.3007 0.5313 0.4687 5.6271 5.717 133.5225 42.2218 36.5048

Feb-08 90.816 92.2669 0.5313 0.4687 5.6866 5.7775 113.972 21.7051 15.9276

Nov-08 50.9025 51.7157 0.5313 0.4687 3.1874 3.2383 54.914 3.19827 -0.04

Dec-08 39.7075 40.3419 0.5313 0.4687 2.4864 2.5261 67.6975 27.3556 24.8295

Total profit=$21.72133

price for the purchase or sale of oil at a future date in

The total gain and total loss for 2007 and 2008 are exchange for a fixed non-refundable “insurance”

illustrated in Figure 5.2 below. premium. When options are used in hedging, the

losses are limited to the premium paid.

European options and some of the factors that affect

the price of options are the current stock price, the

strike price, the time to expiration, risk-free rate and

the volatility. Currently, the price of crude oil has

become very volatile with an estimated annual

volatility of 42.69%. From Table 1, no losses were

observed in the year 2007 as a result of hedging and

even though some losses were recorded in the year

2008 (from Table 2), the profit recorded was positive.

set of data from its mean and according to the Black-

Scholes model, stock prices have standard deviation

of σ T .

This means that, for time greater than one, the

standard deviation or the uncertainty about the future

price of a stock increases with time. Also, money

Fig 5.2: Graph of total gain and total loss

depreciates with time and so options with longer

Analysis and Discussion of results: Options

enable companies to lock in a maximum or minimum maturities loose their value with time.

73

Am. J. Soc. Mgmt. Sci., 2010, 1(1): 67-74

CONCLUSIONS: http://tonto.eia.doe.gov/dnav/pet/hist/wtotopecw.htm,

The above analysis shows that, it is prudent and (accessed 2009 October 10)

financially beneficial for the government of Ghana to [3] Fusaro, P.C. (1998). Energy Risk Management:

go into hedging using short maturity options. Hedging Hedging Strategies and Instruments for the

International Energy Markets, first edition. New York:

stabilizes the fluctuations of company’s cash flows. McGraw-Hill. pp. 9-37

Hedging decreases company’s price risk exposure

when being involved with physical products. It also [4] Hull, C. J., (2006). Options, futures and Other

provides effective financial management of the Derivatives, sixth edition. Pearson Prentice Hall. pp.

company and enables management to focus on other 99-373

factors of the business. Also, options are more

flexible compared to other derivative instruments [5] Long, D., (2000) Oil Trading Manual, Cambridge:

used in price risk management. Short maturity Woodhead Publishing Ltd., Supplement 3.

options are cheaper and with less risk as compared [6] McDonald, L.R. (2006). Derivatives Market, second

to long maturity options and hedging with options edition. Pearson Education, Inc.

secure competitive advantage by locking in high/low

prices. [7] Natenberg, S., (1994), Option Volatility & Pricing:

Advanced Trading Strategies and Techniques,

REFERENCES Chicago: Probus Publishing Company. pp. 257-330.

[1] Cherry, H. (2007). Financial Economics, first edition.

Actuarial Study Materials, 3217 Wynsum Ave., Merrick, [8] Weishaus, A. (2008). Financial Economics, fourth

NY 11566. edition. Actuarial Study Materials, 276 Roosevelt Way,

[2] Energy Information Administration. Weekly all countries Westbury, Merrick, NY 11590.

spot price of crude oil.

74

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