Lindung Nilai Harga Crude Palm Oil Menggunakan Strategi Bull Call Spead dan Strategi Short Combo

Abstract

Ketidakstabilan demand dan supply yang terjadi akibat adanya pandemi Covid-19 menyebabkan harga crude palm oil di Indonesia meningkat pesat. Lindung nilai menggunakan strategi opsi dapat menjadi solusi untuk mengurangi risiko jika menghadapi kenaikan harga atau kondisi bullish di masa depan. Penelitian ini menggunakan dua strategi opsi, yaitu strategi bull call spread dan short combo. Berdasarkan hasil penghitungan, biaya short combo merupakan yang terendah pada kondisi bullish. Pada kondisi bearish, biaya terendah dicapai ketika tidak dilakukan strategi opsi. Pada kondisi neutral, strategi short combo dan strategi bull call spread memberikan biaya terendah. Kedua strategi opsi memiliki kerugian maksimum pada saat spot price kurang dari strike price pertama dengan nilai yang berbeda-beda. Keuntungan maksimum bull call spread dan short combo terjadi pada saat spot price lebih besar dari strike price kedua. Keuntungan makimum short combo bernilai tak terhingga jika terjadi peningkatan spot price. Bull call spread lebih menguntungkan pada kondisi bearish, sedangkan short combo lebih menguntungkan pada kondisi bullish.

The instability of demand and supply that occurred as a result of the Covid-19 pandemic caused the price of crude palm oil in Indonesia to increase rapidly. Hedging using an options strategy can be a solution to reduce risk if you face rising prices or bullish conditions in the future. This research uses two option strategies, namely the bull call spread and short combo strategies. Based on the calculation results, short combo costs are the lowest in bullish conditions. In bearish conditions, the lowest costs are achieved when no option strategy is implemented. In neutral conditions, the short combo strategy and the bull call spread strategy provide the lowest costs. Both option strategies have a maximum loss when the spot price is less than the first strike price by varying values. The maximum profit from the bull call spread and short combo occurs when the spot price is greater than the second strike price. The maximum profit of a short combo is infinite if there is an increase in the spot price. Bull call spreads are more profitable in bearish conditions, while short combos are more profitable in bullish conditions.