{"id":8036,"date":"2015-03-27T00:00:00","date_gmt":"2015-03-27T03:00:00","guid":{"rendered":"http:\/\/www.archerconsulting.com.br\/novo\/artigos\/artigo713\/"},"modified":"2015-03-27T00:00:00","modified_gmt":"2015-03-27T03:00:00","slug":"artigo713","status":"publish","type":"post","link":"https:\/\/archerconsulting.com.br\/en\/artigo713\/","title":{"rendered":"HEDGE ATRASADO FAZ A\u00c7\u00daCAR PERDER 5% NA SEMANA, EM REAIS."},"content":{"rendered":"<!--:pt-->O mercado de a\u00e7\u00facar encerrou a semana novamente em queda. O vencimento maio de 2015, que normalmente reflete a entrada da safra de cana do Centro-Sul, despediu-se da semana cotado a 12.13 centavos de d\u00f3lar por libra-peso, uma retra\u00e7\u00e3o de 55 pontos equivalente a 12 d\u00f3lares por tonelada. Em reais por tonelada tamb\u00e9m houve queda acentuada de 5% em rela\u00e7\u00e3o \u00e0 semana passada. E durma-se com um barulho desses: os fundos est\u00e3o vendidos a descoberto nada menos que 115.000 contratos.\n\nO ritmo das exporta\u00e7\u00f5es brasileiras est\u00e1 mais lento. Nos primeiros dois meses de 2015 as exporta\u00e7\u00f5es de a\u00e7\u00facar somaram 3.4 milh\u00f5es de toneladas, queda de 13.5% comparando com o mesmo per\u00edodo do ano passado. No acumulado de doze meses, as exporta\u00e7\u00f5es alcan\u00e7am 23.6 milh\u00f5es de toneladas, retraindo 12.7% em rela\u00e7\u00e3o ao mesmo per\u00edodo anterior. Esse volume acumulado \u00e9 o menor desde outubro de 2012. O valor total das exporta\u00e7\u00f5es de a\u00e7\u00facar somam no acumulado de doze meses US$ 9.12 bilh\u00f5es com queda de mais de 20% e o menor valor arrecadado na exporta\u00e7\u00e3o desde maio de 2010. Uma \u00f3tima informa\u00e7\u00e3o para os baixistas. Mesmo que a exporta\u00e7\u00e3o de mar\u00e7o chegue a 1.475.000 toneladas, segundo estimativa de um trader, o acumulado de doze meses permanece inalterado j\u00e1 que as exporta\u00e7\u00f5es de mar\u00e7o do ano passado chegaram a 1.56 milh\u00e3o de toneladas.\n\nAs exporta\u00e7\u00f5es de etanol nos dois primeiros meses foram pouco acima dos 220 milh\u00f5es de litros, retraindo 13% em rela\u00e7\u00e3o a janeiro e fevereiro do ano passado. No acumulado de doze meses o total exportado \u00e9 de 1.36 bilh\u00e3o de litros com derretimento de 48% em rela\u00e7\u00e3o ao per\u00edodo anterior.\n\nNo nosso primeiro coment\u00e1rio de 2015, quando o mercado negociava ao redor de 15 centavos de d\u00f3lar por libra-peso dissemos o seguinte: \u201cImagine que voc\u00ea tenha US$ 1 milh\u00e3o que deve ser obrigatoriamente apostado numa op\u00e7\u00e3o digital, ou seja, voc\u00ea tem que apostar que o mercado ou chega a 12 centavos de d\u00f3lar por libra-peso ou que chega a 18 centavos de d\u00f3lar por libra-peso. Onde voc\u00ea apostaria? Mande sua opini\u00e3o\u201d. Dois ter\u00e7os das respostas recebidas apontavam 12 centavos, que est\u00e3o a apenas 10 pontos de colocar a m\u00e3o no pr\u00eamio fict\u00edcio de US$ 1 milh\u00e3o. N\u00e3o \u00e9 f\u00e1cil ser trader de a\u00e7\u00facar nesses dias.\n\nTenho sido indagado com alguma frequ\u00eancia por leitores sobre algumas opera\u00e7\u00f5es de balc\u00e3o mais usadas no mercado de a\u00e7\u00facar, em especial os chamados acumuladores. Os acumuladores s\u00e3o contratos nos quais uma das partes \u00e9 obrigada a comprar da outra parte um determinado n\u00famero de contratos futuros de a\u00e7\u00facar em NY num pre\u00e7o pr\u00e9-determinado em uma s\u00e9rie de datas pr\u00e9-determinadas ao longo de um per\u00edodo de tempo especificado. Se o pre\u00e7o de fechamento do a\u00e7\u00facar em determinada data ficar acima ou abaixo do n\u00edvel de \u201cdesaparecimento\u201d estabelecido entre as partes, todas as acumula\u00e7\u00f5es restantes no per\u00edodo especificado s\u00e3o canceladas.\n\nO valor nocional do contrato pode aumentar periodicamente, aumentando assim a alavancagem (e o risco) caso uma condi\u00e7\u00e3o pr\u00e9-definida seja acionada, por exemplo, se o pre\u00e7o do a\u00e7\u00facar ficar acima ou abaixo de determinado n\u00edvel concordado entre as partes. Um acumulador \u00e9 diferente de um contrato de op\u00e7\u00e3o negociado em bolsa. Como s\u00e3o op\u00e7\u00f5es que dependem da trajet\u00f3ria de pre\u00e7os, tanto seu apre\u00e7amento quanto o c\u00e1lculo das gregas (fatores de sensibilidade) s\u00e3o muito mais dif\u00edceis de gerenciar.\n\nSempre utilizei os mercados de balc\u00e3o quando era trader, at\u00e9 mesmo em fun\u00e7\u00e3o da necessidade de hedge da empresa que ia al\u00e9m do que o mercado futuro podia oferecer em termos de liquidez naqueles tempos. N\u00e3o posso, portanto, ser contra os acumuladores e entendo que as opera\u00e7\u00f5es de balc\u00e3o em algumas situa\u00e7\u00f5es s\u00e3o bem melhores do que as op\u00e7\u00f5es negociadas em bolsa (em especial para empresas consumidoras industriais) dependendo dos perfis de risco e comercial da empresa e das suas caracter\u00edsticas de negocia\u00e7\u00e3o.\n\nO que tenho visto, no entanto, \u00e9 a conjun\u00e7\u00e3o de alguns fatores de risco que podem trazer problemas para quem compra ou vende esses instrumentos: primeiramente, para negociar op\u00e7\u00f5es de balc\u00e3o o trader, o gestor de risco, o controller, para mencionar alguns, precisam obrigatoriamente entender a extens\u00e3o dos riscos assumidos (vide os casos que ocorreram no passado recente com empresas do mercado de soja e mesmo do a\u00e7\u00facar); segundo, n\u00e3o \u00e9 prudente utilizar a totalidade das fixa\u00e7\u00f5es de pre\u00e7o usando acumuladores. Vi recentemente o caso de uma empresa que, numa simula\u00e7\u00e3o de cen\u00e1rios de pre\u00e7o, estaria ora com apenas 50% do seu volume fixado (se o mercado ca\u00edsse), ora com 200% (se o mercado subisse). N\u00e3o h\u00e1 como n\u00e3o dizer que faltou um pouco de bom senso por parte dos gestores de permitir que a totalidade de suas fixa\u00e7\u00f5es de pre\u00e7o fosse feita se utilizando desse instrumento. Apenas a titulo de curiosidade, os acumuladores tamb\u00e9m s\u00e3o conhecidos no mercado acion\u00e1rio pelo sugestivo nome de \u201cI-Will-Kill-You-Later\u201d. Por raz\u00f5es \u00f3bvias ningu\u00e9m mencionou esse nome para o mercado de commodities.\n\nHoje h\u00e1 uma variedade de produtos de balc\u00e3o que combinam seguran\u00e7a com apetite ao risco. Vale sempre a m\u00e1xima de n\u00e3o se colocar todos os ovos na mesma cesta. Como diria Peter Bernstein, autor do delicioso livro \u201cAgainst the Gods\u201d (em portugu\u00eas, Desafio aos Deuses) um derivativo \u00e9 como uma l\u00e2mina de barbear, serve para fazer a barba, mas tamb\u00e9m pode matar.\n\nTenham um excelente final de semana\n\nArnaldo Luiz Corr\u00eaa<!--:--><!--:en-->The sugar market closed the week in fall again. May 2015, which usually reflects the sugarcane harvest from the Center-South, said goodbye to this week quoted at 12.13 cents per pound, a 55-point downturn equivalent to 12 dollars per ton. There was also a sharp 5%-fall in reals per ton against last week. And go figure! The funds are short by no fewer than 115,000 contracts.\n\n&nbsp;\n\nThe pace of Brazilian exports is slower. Over the first two months in 2015 sugar exports came to 3.4 million tons, a 13.5%-fall compared to the same period last year. In the twelve-month accumulated figure, exports have reached 23.6 million tons, shrinking 12.7% in relation to the same previous period. This accumulated volume has been the lowest since October 2012. The total value of sugar exports in the twelve-month accumulated amounts to US$9.12 billion, an over 20%-fall and the lowest export value collected since May 2010. Some great information for the bears \u2013 even if exports in March reach 1,475,000 tons, according to a trader\u2019s estimate, the accumulated value over twelve months remains unchanged since March exports last year were at 1.56 million tons.\n\n&nbsp;\n\nEthanol exports over the first two months were a little over 220 million liters, falling 13% against January and February last year. In the accumulated value for twelve months the exported total is 1.36 billion liters with a 48%-melting in relation to the previous period.\n\n&nbsp;\n\nIn our first weekly comment in 2015, when the market was trading at about 15 cents per pound, we said, \u201cImagine you have US$1 million which must be bet on a digital option, that is, you must bet the market will either reach 12 cents per pound or 18 cents per pound. Where would you place your bet? Send in your opinion. Two thirds of the responses pointed to 12 cents, which are only 10 points away from getting hold of the US$1 million fictitious prize. It\u2019s not easy to be a sugar trader nowadays.\n\n&nbsp;\n\nReaders have been asking me about some of the most common over-the-counter operations, especially those called accumulators. Accumulators are contracts in which one of the parties is required to buy from the other party a certain number of sugar futures contracts in NY at a pre-determined price over a series of pre-determined dates over a specific period of time. If the closing price of the sugar at a certain date is above or below the knock-out level set between the parties, all the remaining accumulations over the specific period are cancelled.\n\n&nbsp;\n\nThe notional value of the contract can increase periodically, thus increasing the leverage (and the risk) if a pre-defined condition is triggered. For example, if the sugar price is above or below a certain level agreed between the parties. An accumulator is different from an exchange-traded option contract. Since they are options which depend on the price trajectory (so called path dependent options), both their pricing and Greeks calculation (sensitivity factors) are a whole lot harder to manage.\n\n&nbsp;\n\nI always used the over-the-counter markets when I was a trader, especially because of the need for company hedging which went beyond what the futures market could offer in terms of liquidity back then. I can\u2019t, therefore, be against the accumulators and I understand that the over-the-counter operations under some circumstances are much better than the exchange-traded options (mainly for industrial consumer companies) depending on the risk and commercial profile of the company and its trading traits.\n\n&nbsp;\n\nWhat I have seen, however, is the combination of some risk factors which can cause problems for those buying and selling these instruments. For starters, in order to trade over-the-counter options, the trader, risk manager, controller, to mention a few, have to understand the scope of the risks taken (see cases which happened in the recent past to companies on the soy and even sugar market); secondly, it is not safe to use all their price fixing using accumulators. I have recently seen the case of a company which, under a price scenario simulation, sometimes would have only 50% of its volume priced (if the market fell) and sometimes 200% (if the market went up). It is clear that the managers lacked some good judgment when they let all the pricing be made by using this instrument.\n\n&nbsp;\n\nCuriously, the accumulators are also known on the stock market as the suggestive name \u201cI-Will-Kill\u2013You-Later\u201d. For obvious reasons, nobody has mentioned this name for the commodities market.\n\n&nbsp;\n\nToday there is a variety of over-the-counter products which combines safety with risk appetite. It is always worth remembering the maxim, \u201cOne shouldn\u2019t put all the eggs into the same basket.\u201d As Peter Bernstein, author of the amusing book \u201cAgainst the Gods\u201d would say, \u201cA derivative is like a razor blade. It is used for shaving, but it can kill too.\u201d\n\n&nbsp;\n\nHave a great weekend.\n\n&nbsp;\n\nArnaldo Luiz Corr\u00eaa<!--:-->","protected":false},"excerpt":{"rendered":"<p>O mercado de a\u00e7\u00facar encerrou a semana novamente em queda. O vencimento maio de 2015, que normalmente reflete a entrada da safra de cana do Centro-Sul, despediu-se da semana cotado a 12.13 centavos de d\u00f3lar por libra-peso, uma retra\u00e7\u00e3o de 55 pontos equivalente a 12 d\u00f3lares por tonelada. Em reais por tonelada tamb\u00e9m houve queda [&hellip;]<\/p>","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4,11],"tags":[],"class_list":["post-8036","post","type-post","status-publish","format-standard","hentry","category-acucar","category-artigos"],"_links":{"self":[{"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/posts\/8036","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/comments?post=8036"}],"version-history":[{"count":0,"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/posts\/8036\/revisions"}],"wp:attachment":[{"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/media?parent=8036"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/categories?post=8036"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/archerconsulting.com.br\/en\/wp-json\/wp\/v2\/tags?post=8036"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}