Using a cotton options strategy to increase revenues

O. Isengildina, D. Hudson, O. A. Cleveland, C. W. Herndon

Research output: Contribution to conferencePaperpeer-review

Abstract

Changes in government programs and increased price volatility are causing cotton farmers to manage more price risks. A 'Harvest Strategy' is suggested, which sells cotton at harvest, purchases an at-the-money July options contract and exercises this contract at expiration. The results of the analysis demonstrate that this strategy yields higher returns than the naive strategy of selling at harvest or storing and selling at a later date. The proposed strategy also limits the exposure to the downside price risk.

Original languageEnglish
Pages315-319
Number of pages5
StatePublished - 2000
EventBeltwide Cotton Conferences - Texas, United States
Duration: Jan 4 2000Jan 8 2000

Conference

ConferenceBeltwide Cotton Conferences
CountryUnited States
CityTexas
Period01/4/0001/8/00

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