LINDUNG NILAI KONTRAK BERJANGKA KOMODITAS CRUDE PALM OIL (CPO) DENGAN STRATEGI LONG STRANGLE DAN SEAGULL

Abstract

Volatilitas harga CPO akibat eskalasi geopolitik Iran-AS (penutupan Selat Hormuz) menimbulkan risiko harga signifikan bagi pembeli kontrak berjangka CPO. Penelitian ini bertujuan menentukan nilai portofolio lindung nilai, mengukur tingkat risiko, serta membandingkan efektivitas strategi long strangle dan seagull, menggunakan data harga harian FCPOc1 periode 6 April 2025–6 April 2026. Harga opsi dihitung dengan Model Black, sementara risiko diukur melalui simulasi Monte Carlo (10,000 pengulangan) dengan pendekatan Value at Risk (VaR) dan Tail Value at Risk (TVaR) pada tingkat kepercayaan 95%. Nilai volatilitas yang diperoleh sebesar 21.42% per tahun. Strategi long strangle (K_1= 4,000 MYR dan K2 = 4,600 MYR) menghasilkan batas bawah portofolio lebih tinggi serta VaR dan TVaR sebesar 644,39 MYR, lebih optimal dibandingkan seagull (K_1= 4,000 MYR; K_2=4,400 MYR; dan K_3 = 4,600 MYR) dengan ukuran risiko VaR = 832,57 MYR dan TVaR = 1.074,29 MYR, serta posisi unhedged dengan ukuran risiko VaR = 1.310,41 MYR dan TVaR = 1.552,13 MYR. Dengan demikian, long strangle terbukti paling efektif sebagai instrumen lindung nilai bagi pembeli kontrak berjangka CPO dalam menghadapi volatilitas harga esktrem jika dibandingkan dengan strategi seagull maupun unsecured position

CPO price volatility driven by the Iran-US geopolitical escalation (closure of the Strait of Hormuz) poses significant price risk for CPO futures buyers. This study determines the hedging portfolio value, measures risk levels, and compares the effectiveness of long strangle and seagull strategies, using daily FCPOc1 prices from April 6, 2025 to April 6, 2026. Option prices were calculated via the Black Model, with risk measured through Monte Carlo simulation (10,000 iterations) using Value at Risk (VaR) and Tail Value at Risk (TVaR) at 95%. The volatility obtained was 21.42% per year. The long strangle strategy (K_1= 4,000 MYR and K2 = 4,600 MYR) produced a higher portfolio lower bound, as well as VaR and TVaR of 644.39 MYR, which is more optimal compared to the seagull strategy (K_1= 4,000 MYR; K_2=4,400 MYR; and K_3 = 4,600 MYR) with risk measures of VaR=832.57 MYR and TVaR =1,074.29 MYR, and the unhedged position with risk measures of VaR = 1,310.41 MYR and TVaR = 1,552.13 MYR. Thus, the long strangle is proven to be the most effective hedging instrument for CPO futures buyers in facing extreme price volatility compared to the seagull strategy and the unhedged (unsecured) position.