This paper analyzes risk management of price volatility in the purchase of coal, natural gas, and Petcoke – the main fuels used in cement production. This analysis is based on the case study method, where three information collection tools were used: document review, survey, and expert interview. Data collection allowed a qualitative analysis to determine the advantages of using risk management strategies. As a result of the study, we found that the cement companies regularly cover their risks with strategies such as long- and short-term contracts, variable contracts (short- and long-term combination) and spot purchases, which favor the aspects related to decreased risk of market price changes and supply risk. In addition, similar advantages are found in futures contract strategies, but the surveyed companies do not use this kind of coverage because futures markets in the countries under study are emerging.