中国石化新闻网讯 据油价网5月16日报道，去年，随着石油和天然气价格触及多年高点，通常锁定价格的生产商倾向于只进行少量对冲，或者根本不进行对冲。
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随着油价跌至每桶70美元，生产商仍没有表现出增加对冲活动的兴趣。
与此同时，对冲比率仍然很低，2023年的数据为21.2%，而2024年的产出比率仅为5.2%。
对冲是一种流行的交易策略，石油和天然气生产商、航空公司和其他能源大宗商品的大量消费者经常使用这种策略来保护自己免受市场波动的影响。在原油价格下跌期间，如果石油生产商认为未来油价可能会进一步下跌，他们通常会使用空头对冲来锁定油价。
去年，随着石油和天然气价格触及多年高点，通常锁定价格的生产商倾向于只进行少量对冲，或者根本不进行对冲，以避免在原油继续飙升的情况下留下资金。
但自2022年年中见顶以来，油气价格已大幅回落，这使得生产商在高度波动的能源市场中面临的对冲风险微乎其微。
去年11月，渣打银行报告称，美国石油对冲头寸不到2020年第一季度峰值5.63亿美元的五分之一。如今，大宗商品交易商提供了最新消息，称尽管油价剧烈波动，但生产商对这类保险的兴趣仍然不大。渣打银行透露，在过去的三个月里，美国生产商的石油套期保值并未出现明显反弹，5月初的套期保值规模为3.63亿桶，仅比2月份的估计高出1.5%，是其小组调查30个季度以来的最低水平。
与此同时，对冲比率仍然很低，2023年的数据为21.2%，而2024年的产出比率仅为5.2%。天然气生产商更加谨慎，2023年天然气产量的当量比率为43.2%，2024年为22.5%，考虑到天然气价格的大幅下跌，这完全可以理解。专家报告称，生产商持有的2023年购买看跌期权的分布几乎完全集中在68～72美元/桶关键区间的中间，这表明伽马对冲效应可能会加剧下一个高于或低于该区间的重大变动。
大约一个月前，渣打银行报告称，石油市场的极端波动是由于伽马对冲效应造成的，当油价跌破石油生产商看跌期权的执行价格而波动性增加时，银行出售石油来管理自己的期权。由于生产者看跌期权的主要价差目前占据了一个狭窄的价格区间，因此负面的价格效应已经加剧。虽然伽马套期保值效应不会引发最初的价格下跌，但它们会导致短期价格下跌，并因相关不太坚定投机性多头的平仓而进一步放大。
最好的对冲：强劲的资产负债表
受多年来最佳财务表现的鼓舞，石油业高管们押注油气价格将保持高位，对冲活动减少反映了这种乐观情绪。
丰业银行(Scotiabank)分析师Paul Cheng告诉彭博社(Bloomberg)，对油气公司来说，最好的对冲手段是拥有强劲的资产负债表。
“管理团队有更多唯恐错过的情绪，因此在失控的市场中进行对冲。随着价格的上涨和公司的财务状况比以往任何时候都要好，许多钻井公司都选择退出他们通常的对冲活动。”Cheng告诉彭博社。
同样，加拿大皇家银行资本市场分析师Michael Tran告诉彭博社：“加强企业资产负债表，减少债务负担以及多年来最具建设性的市场前景削弱了生产商的对冲计划。”
一些大型石油公司非常确信高油价会持续下去，以至于它们完全放弃了对冲措施。
与此同时，二叠纪盆地最大的石油生产商先锋自然资源公司为了抓住价格上涨的机会，关闭了几乎所有2022年的对冲，而页岩油生产商Antero资源公司透露，这是该公司历史上“对冲最少”的一次。与此同时，德文能源Devon Energy Corp只有约20%的对冲，远低于该公司通常的约50%。
有趣的是，一些石油公司正受到想要扩大大宗商品风险敞口（大宗商品价格变动的可能性以及由此带来的损失的部分）投资者的怂恿。
“这是我们投资者的强烈要求”，当被问及减少对冲的决定时，Devon首席执行官Rick Muncrief对彭博新闻社表示，“我们的资产负债表比以往任何时候都要强劲，而且我们有越来越多的投资者希望接触大宗商品价格”。
但专家们现在表示，目前不对冲未来产量的趋势可能会对远期价格曲线的波动产生重大影响——这是一种好的影响。
这是因为在未来12至18个月的期货合约中，能源生产商是天然的卖家。如果没有它们，随后几个月的交易流动性和空头支票就会减少，从而导致波动性加大，甚至可能出现更大幅度的反弹。反过来，未来更高的油价可能会鼓励生产商在钻井项目上投入更多资金，这一趋势在很大程度上由于清洁能源转型而大大放缓。
一把双刃剑
除了避免把钱留在桌面上，生产商减少对冲还有一个很好的原因——避免潜在的巨额损失。
套期保值一般是为了防止价格突然暴跌。许多生产商通过卖出高于市场的看涨期权来进行对冲，这是一种深受美国页岩油生产商喜爱的对冲策略：三相领式期权(Three-Way Collars)。只要价格保持区间波动，这些期权往往是对冲价格波动的一种相对廉价方式。事实上，三相领式期权(Three-Way Collars)基本上是没有成本的。
从理论上讲，对冲可以让石油生产商锁定一个特定的价格。最简单的方法是使用看跌期权购买价格的下限，然后通过使用看涨期权出售上限来抵消该成本。为了进一步削减成本，生产商可以出售通常被称为底价的期权，这实际上是一种比当前油价低得多的看跌期权。这就是三相领式期权策略。
当油价横盘波动时，三相领式期权(Three-Way Collars)往往效果良好；然而，当价格下跌太多时，它们可能会让交易员暴露在风险之下。事实上，这一策略在2014年的上一次石油危机中失宠，当时油价跌得太低，页岩油生产商损失惨重。
但退出对冲头寸也可能代价高昂。
事实上，美国页岩油生产商在2022年遭受了数百亿美元的对冲损失，EOG资源公司在一个季度内损失了28亿美元，而赫斯公司和先锋公司分别支付了3.25亿美元退出对冲头寸。
对冲活动的大幅减少是否会反过来影响美国生产商，仍有待观察。
寿琳玲 编译自 油价网
原文如下：
Underhedged Oil Producers Heavily Exposed To Low Oil Prices
Last year, with oil and gas prices hitting multi-year highs, producers that typically lock up prices preferred to hedge only lightly, or not at all.
With oil prices falling to $70 per barrel, producers are still showing little appetite to increase hedging activity.
Meanwhile, hedge ratios remain low with the 2023 figure at 21.2%, while the ratio for 2024 output is just 5.2%.
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Hedging is a popular trading strategy frequently used by oil and gas producers, airlines and other heavy consumers of energy commodities to protect themselves against market fluctuations. During times of falling crude prices, oil producers normally use a short hedge to lock in oil prices if they believe prices are likely to go even lower in the future.
Last year, with oil and gas prices hitting multi-year highs, producers that typically lock up prices preferred to hedge only lightly, or not at all, to avoid leaving money on the table if crude continued to soar.
But oil and gas prices have retreated significantly since peaking mid-2022, leaving producers with minimal hedging exposed to highly volatile energy markets.
Back in November, Standard Chartered reported that the U.S. oil hedge book was less than a fifth of the Q1-2020 peak of 563mb. Now the commodity traders have provided an update and revealed that producers are still showing little appetite for this type of insurance despite wild swings in oil prices. StanChart has revealed that there has been no significant rebound in oil hedging by U.S. producers over the past three months with the hedge book standing at 363 million barrels (mb) at the start of May, a mere 1.5% higher than the February estimate and the lowest across the 30 quarters of its panel survey.
Meanwhile, hedge ratios remain low with the 2023 figure at 21.2%, while the ratio for 2024 output is just 5.2%. Gas producers have been more cautious with equivalent ratios for natural gas output at 43.2% for 2023 and 22.5% for 2024, perfectly understandable considering the huge gas price crash. The experts have reported that the distribution of 2023 purchased put options held by producers is mostly clustered almost exactly in the middle of the key USD 68-72/bbl range, suggesting that gamma effects are likely to intensify the next significant move above or below that range.
About a month ago, Standard Chartered reported that the extreme volatility being witnessed in the oil markets is due to gamma hedging effects, with banks selling oil to manage their side of options as prices fall through the strike prices of oil producers put options and volatility increases. The negative price effect has been exacerbated because the main cliff-face of producer puts currently occupies a narrow price range. While gamma hedging effects do not trigger the initial price fall, they result in a short-term undershoot, further magnified by the closing out of associated less committed speculative longs.
Related: WTO Chief: Nigeria Can’t Rely On Oil & Gas Revenues
The Best Hedge: A Strong Balance Sheet
Buoyed by the best financial performance in years, oil executives are wagering that high oil and gas prices are here to stay, with less hedging activity reflecting this optimism.
As Paul Cheng, an analyst at Scotiabank, has told Bloomberg, the best hedge for oil and gas companies is a strong balance sheet.
“Management teams have greater FOMO, or fear of missing out, being hedged in a runaway market. With prices rising and companies’ books stronger than they’ve been in years, many drillers are opting out of their usual hedging activity”, Cheng told Bloomberg.
Likewise, RBC Capital Markets analyst Michael Tran told Bloomberg, “Fortified corporate balance sheets, reduced debt burdens and the most constructive market outlook in years has sapped producer hedging programs.”
Some Big Oil companies are so confident that high oil prices are here to stay that they have completely ditched their hedges.
To wit, Pioneer Natural Resources Co .(NYSE: PXD), the biggest oil producer in the Permian Basin, closed out almost all of its hedges for 2022 in a bid to capture any run-up in prices while shale producer Antero Resources Corp.(NYSE: AR) revealed that it’s the “least hedged” in the company’s history. Meanwhile, Devon Energy Corp. (NYSE: DVN) is only about 20% hedged, way lower than the company’s ~50% normally.
Interestingly, some oil companies are being egged on by investors looking for more commodity exposure.
“It has been overwhelmingly the request of our investors. We have a stronger balance sheet than we’ve ever had, and we have more and more investors that want exposure to the commodity price,” Devon Chief Executive Officer Rick Muncrief told Bloomberg News when asked about the decision to hedge less.
But the experts are now saying that the current trend of not hedging future output could have major implications up and down the forward price curve——in a good way.
That’s the case because energy producers act as natural sellers in futures contracts some 12 to 18 months ahead. Without them, trading in later months has less liquidity and fewer checks, leading to more volatility and potentially even bigger rallies. In turn, higher oil prices in the future are likely to encourage producers to invest more in drilling projects, a trend that has slowed down considerably thanks in large part to the clean energy transition.
Double-edged sword
Other than avoiding leaving money on the table, there’s another good reason why producers have been hedging less——avoiding potentially huge losses.
Hedging is broadly meant to protect against a sudden collapse in prices. Many producer hedges are set up by selling a call option above the market, a so-called three-way collar structure. These options tend to be a relatively cheap way to hedge against price fluctuations as long as prices remain range bound. Indeed, collars are essentially costless.
In theory, hedging allows producers to lock-in a certain price for their oil. The simplest way to do this is by buying a floor on the price using a put option then offsetting this cost by selling a ceiling using a call option. To trim costs even further, producers can sell what is commonly referred to as a subfloor, which is essentially a put option much lower than current oil prices. This is the three-way collar hedging strategy.
Three-way collars tend to work well when oil prices are moving sideways; however, they can leave traders exposed when prices fall too much. Indeed, this strategy fell out of favor during the last oil crash of 2014 when prices fell too low leaving shale producers counting heavy losses.
But exiting hedging positions can also be costly.
Indeed, U.S. shale producers suffered tens of billions in hedging losses in 2022, with EOG Resources (NYSE: EOG) losing $2.8 billion in a single quarter while Hess Corp. (NYSE: HES) and Pioneer paid $325M apiece to exit their hedging positions.
Whether or not this dramatic cut in hedging activity will come back to bite U.S. producers remains to be seen.
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