Case study: soft-wheat buyer hedge for H1 2026
A mid-size soft-wheat flour buyer faces the same question every budget cycle: how much of next season's purchases to lock, insure, or leave open — and at what cost? This memo walks through that decision as of 30 June 2025 for H1 2026 CBOT Soft Red Winter exposure. The company is fictional; the curve and outcomes use public market data.
What this case shows
On 30 June 2025 we price a hedge book for January–June 2026 wheat purchases: a forward strip from the June CBOT SRW curve, a call at 105% of the strip average, a collar 95%/105%, and a zero-cost collar that re-solves the put each month so net premium is about zero.
All three option structures share the same call strike. Only the put leg changes — so the comparison is fair. We then stress coverage at 0%, 25%, 50%, 75% and 100% of monthly volume.
Volumes are industry-scaled fiction (~50,000 tonnes wheat-equivalent per year). Flour basis and milling margin are residual risks, stated but not modeled.
Why it matters for agri-food treasury
Between budget season and delivery, the CBOT SRW curve can move enough to erase a thin bakery or milling margin. The practical question is not "will wheat go up?" — it is how much of the book to lock versus insure, and how that choice looks when coverage changes.
CommoHedge Strategy Builder and Zero-Cost Strategies use the same Black-76 engine as this memo. The goal is a board-ready view: premium, payoff and hedge benefit shown separately, not a black box.
How to read the PDF
Start with the executive snapshot and the June 2025 forward strip versus H1 2026 realized averages. Then compare structures at 50% coverage and open the coverage matrix to pick a policy band (often 25–75%).
The zero-cost section lists the put strike solved for each maturity — it moves because time to expiry changes from the decision date, not because the model is unstable.
This is an illustrative anonymized case for education and product demonstration. It is not investment advice and not a description of any real hedge book.
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