Список проголосовавших за комментарий "Рассказ непосредственного участника одной из мексиканских нефтяных сделок (ежегодного хэджа — Mexico's Oil Hedging Program) 2008-2009гг.<br/> Чувак работал трейдером на деске в банке, продавшем мексам путов на 200 мил бареллей. Непосредственно участвовал в сделке. Good stuff<br/> <blockquote>I was a derivatives trader, but also the supervisor of the bank’s oil options trading team, about a dozen guys split between Singapore, London, and New York. Until this point I’d managed the deal almost entirely on my own, making the decisions that led to where I ... <em>we</em> … were now. </blockquote>h<br/> <blockquote>I thought I knew what I was getting into. I’d helped my bank win the fateful deal by developing a complex option on crude oil, together with a risk management strategy. My equations told me how I could buy and sell simpler financial products over time to approximately offset my daily gains and losses on the option I’d sold.</blockquote>h<blockquote><p>While I was still executing the trade, I’d stress tested my strategy by imagining oil prices plummeting by 30 percent, option-implied volatilities spiking to record levels, and so on. The “worst-case” loss I derived in September was $30 million, less than a sixth of what I ended up losing in October alone.</p><p>And I still had 13 months to go before the option expired.</p></blockquote>h<blockquote>The derivative I’d sold was an option, but it worked just like an insurance policy. The buyer was the government of Mexico, the sixth largest exporter of crude oil in the world at the time, and a country dependent on those exports for about a third of its federal budget. A crash in crude’s price could cause deficits or the need for drastic cuts to social programs, neither of which was particularly palatable to the country’s politicians. Traditionally, Mexico had used derivatives to lock in a minimum sale price for the crude it would sell the following year. In 2008, they covered a fraction of their 2009 exposure with me.</blockquote><blockquote>The option they bought from me was complex, or at least unusual, in that it was written on Maya crude, a heavy and sour grade comprising nearly 90 percent of Mexico’s production. For years, Mexico had hedged using options on West Texas Intermediate (WTI), the United States crude most commonly quoted in the news as “the price of oil,” and the most heavily traded commodity in the world, thanks to the extensive derivative market that trades on it. For Mexico, buying WTI options was convenient and cheap, like buying a suit off the rack. But it also exposed the country to the risk that Maya might underperform WTI in the event of a crash, in which case its off-the-rack insurance might fail to cover its made-to-order losses.</blockquote>and so on...<br/> <a href="/r.php?u=http%3A%2F%2Fnautil.us%2Fissue%2F31%2Fstress%2Fwhat-i-learned-from-losing-200-million&s=1594695326">What I Learned from Losing $200 Million</a>"