AAEC 4317/5317Commodity Futures Trading Analysis /

Financial and Commodity Futures and OptionsFall 2015

Class Hours: 11:00-12:20 AM, TR, AGSC 311

Instructor: Shaikh M Rahman

E-mail: shaikh.m.rahman@ttu.edu

Telephone: (806) 834-0505

Office: 307-A, Ag. Science Building

Office Hours: 10:00 AM – 11:00 AM, TR and by appointment

An introduction to futures contracts and futures markets Mechanics of buying and selling futures Trading methods and strategies – Fundamental and Technical

Analyses Cash vs. futures prices

Arbitrage and speculation Spreading with futures Hedging with futures Fundamentals of options – option pricing Options on futures Speculating, spreading, and hedging with options on futures

AAEC 4317/5317Outline

AAEC 4317/5317Expected Learning Outcomes

Provide a solid grounding on commodity futures and options trading.

Provide a hands-in experience on commodity futures and options trading.

An economic perspective will be used to analyze the functions and mechanics of the futures and options markets for commodities and financial instruments.

The goal is to integrate an understanding of these markets into specific economic situations in order to improve the decision-making process.

Getting students ready for the job market.

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Required Texts An Introduction to Futures and Options, Student Manual, CME Futures & Options (1992), Franklin Edwards and Cindy Ma,

McGraw-Hill Inc. Authorized copies of selected chapters are available for purchase

at “The Copy Outlet,” 2402 Broadway, (806) 744-7772 Useful Web Links

http://markets.ft.com/ft/markets/reports/FTReport.asp?dockey=COM-260810

http://www.cbot.com/cbot/pub/page/0,3181,1201,00.html http://www.cboe.com/DelayedQuote/QuoteTable.aspx

The Learning Process:Methods of Assessing Learning Outcomes

Class Attendance and Participation Each student is expected to attend every class period, be

prepared to respond to questions in the class, and summarizing the materials covered in the previous class and unannounced quizzes when given.

Students are also encouraged to ask questions related to the course topics.

Class attendance will be checked regularly. If you miss a class, it is your responsibility to make up

anything missed. Absences may be excused only in cases of serious illness

(doctor’s note is required) and complementary academic activities (advance proof of participation is required).

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Quizzes: There will be several quizzes throughout the semester. Any missed quiz will receive a grade of zero. The lowest score of the quizzes will be dropped.

 Homework Assignments: There will be five homework assignments for practice. Each homework will be primarily on problem solving. These will not carry any grade, but useful for exams. You are required to solve the problems before due dates You will be called to solve at least one problem on the board –

your participation will add 1 bonus point to your final grade

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Project Assignment There will be one project assignment on hedging

Exams: There will be two mid-term exams and one final.

Mid-term exam 1: Thursday, 08 Oct. 2015, 9:30 – 10:50 AM Mid-term exam 2: Thursday, 05 Nov. 2015, 9:30 – 10:50 AM Final Exam: Saturday, 07 Dec. 2015 7:30 – 10:00 AM

The exams will include several true/false and multiple choice questions, short questions, and analytical problems.

There will be no makeup exam. Any missed exam will have a grade of zero. 

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 Trading Simulation Game: Each student will actively participate in a futures and

options trading simulation game available at http://www.factsim.org

Each student is required to make at least 10 offsetting transactions.

Keeping a journal of all transactions with fundamental and technical analysis is also required. Each student will have to write a paper on his/her transactions and trading strategies.

Nov 24 will be the last day of trading, and students have to submit the trading experience paper by Nov 30, 2015.

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Research Project (Applicable to 5317): Each graduate student is required to write a paper on a

research topic relevant to the course material.

The paper may be conceptual or empirical in nature.

The reference style of the Journal of Futures Markets should be followed.

The time-line for submission is as follows: The topic and outline: Sep 24, 2015 First draft: Oct 29, 2015 Final draft: Nov 30, 2015

Methods of Assessing Learning OutcomesDistribution of Grades

Quizzes – 10% of the final grade Exams – 60% of the final grade

2 mid-terms and a final exam – each worth 20% of the final grade Project Assignment – 15% of the final grade, 10% for grads Trading experience – 15% of the final grade, 10% for grads

Participation (minimum 10 transaction) – 5% Trading experience paper – 10% for undergrads and 5% for grads

Research Paper (App. to 5317) – 10% of the final grade Class Attendance

Every unexcused absence over two will lower final grade by 1 point. Students with one unexcused absence will receive 2 bonus points Students with perfect attendance will receive 4 bonus points

Class Participation – 1 bonus point for solving homework in class

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Grading Scale: Final grades will be assigned using the following scale: A = 90-100 % B = 80-89% C = 70-79% D = 60-69% F = 0-59%

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Expectations and Suggestions: Attend every class, take notes and participate (do not hesitate to ask

questions) Do the homework regularly, giving a good-faith effort to every

problem Form a study group -- your fellow students are often the best teachers Be prepared to respond to questions in class Be prepared to summarize the materials covered in the previous class Be prepared for unannounced quizzes when given Keep up with economic news in newspapers, radio & TV programs Spend approximately 10 hours per week (apart from class hours)

reading and working on homework assignments Take the exams entirely on your own