衍生工具第2章宋凌峰

Chapter2

MechanicsofFuturesMarkets1期貨合約AvailableonawiderangeofassetsExchangetradedSpecificationsneedtobedefined:Whatcanbedelivered,Whereitcanbedelivered,&WhenitcanbedeliveredSettleddaily2期貨與現(xiàn)貨價(jià)格的收斂(Figure

2.1,page26)

3TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice保證金AmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract4ExampleofaFuturesTrade(29)Aninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5contractsizeis100oz.futurespriceisUS$1250initialmarginrequirementisUS$6,000/contract(US$12,000intotal)maintenancemarginisUS$4,500/contract(US$9,000intotal)5APossibleOutcome(Table2.1,page28)6DayTradePrice($)SettlePrice($)DailyGain($)Cumul.Gain($)MarginBalance($)MarginCall($)11,250.0012,00011,241.00?1,800?1,80010,20021,238.30?540

?2,3409,660…..…..…..…..……61,236.20?780?2,7609,24071,229.90?1,260

?4,0207,9804,02081,230.80180?3,84012,180…..…..…..…..……161,226.90780?4,62015,180MarginCashFlowsWhenFuturesPriceIncreases7LongTraderBrokerClearingHouseMember

ClearingHouseClearingHouseMember

BrokerShortTraderMarginCashFlowsWhenFuturesPriceDecreases8LongTraderBrokerClearingHouseMember

ClearingHouseClearingHouseMember

BrokerShortTrader術(shù)語Openinterest:thetotalnumberofcontractsoutstandingequaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelleachdayusedforthedailysettlementprocessVolumeoftrading:thenumberoftradesinoneday9期貨的特點(diǎn)TheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity10CrudeOilTradingonMay26,201011OpenHighLowSettleChangeVolumeOpenIntJul201070.0671.7069.2171.512.766,315388,902Aug201071.2572.7770.4272.542.443,746115,305Dec201074.0075.3473.1775.232.195,055196,033Dec201177.0178.5976.5178.532.004,175100,674Dec201278.5080.2178.5080.181.861,25870,126場外市場的抵押ItisbecomingincreasinglycommonfortransactionstobecollateralizedinOTCmarketsConsidertransactionsbetweencompaniesAandBThesemightbebegovernedbyanISDAMasteragreementwithacreditsupportannex(CSA)TheCSAmightrequireAtopostcollateralwithBequaltothevaluetoBofitsoutstandingtransactionswithBwhenthisvalueispositive.12場外市場的抵押IfAdefaults,BisentitledtotakepossessionofthecollateralThetransactionsarenotsettleddailyandinterestispaidoncashcollateralSeeBusinessSnapshot2.2forhowcollateralizationaffectedLongTermCapitalManagementwhentherewasa“flighttoquality”in2008.13場外市場與清算所TraditionallytransactionshavebeenclearedbilaterallyinOTCmarketsFollowingthe2007-2009crisis,thehasbeenarequirementformoststandardizedOTCderivativestransactionstobeclearedcentrallythoughclearinghouses.14BilateralClearingvsCentralClearingHouse15交割I(lǐng)fafuturescontractisnotclosedoutbeforematurity,itisusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincash16QuestionsWhenanewtradeiscompletedwhatarethepossibleeffectsontheopeninterest?Canthevolumeoftradinginadaybegreaterthantheopeninterest?17交易指令LimitStop-lossStop-limitMarket-iftouchedDiscretionaryTimeofdayOpenFillorkill18監(jiān)管IntheUS,theregulationoffuturesmarketsisprimarilytheresponsibilityoftheCommodityFuturesandTradingCommission(CFTC)Regulatorstrytoprotectthepublicinterestandpreventquestionabletradingpractices19Accounting&TaxIdeallyhedgingprofits(losses)shouldberecognizedatthesametimeasthelosses(profits)ontheitembeinghedgedIdeallyprofitsandlossesfromspeculationshouldberecognizedonamark-to-marketbasisRoughlyspeaking,thisiswhattheaccountingandtaxtreatmentoffuturesintheU.S.andmanyothercountriesattempttoachieve20遠(yuǎn)期與期貨

(Table2.3,page41)21ContractusuallyclosedoutPrivatecontractbetween2partiesExchangetradedNon-standardcontractStandardcontractUsually1specifieddeliverydateRangeofdeliverydatesSettledatendofcontractSettleddailyDeliveryorfinalcashsettlementusuallyoccurspriortomaturityFORWARDSFUTURESSomecreditriskVirtuallynocreditriskForeignExchangeQuotesFuturesexchangeratesarequotedasthenumberofUSDperunitoftheforeigncurrencyForwardexchangeratesarequotedinthesamewayasspotexchangerates.ThismeansthatGBP,EUR,AUD,andNZDarequotedasUSDperunitofforeigncurrency.Othercurrencies(e.g.,CADandJPY)arequotedasunitsoftheforeigncurrencyperUSD.2223玻璃期貨合約設(shè)計(jì)交易品種平板玻璃交易單位20噸/手報(bào)價(jià)單位元（人民幣）/噸最小變動(dòng)價(jià)位1元/噸每日價(jià)格波動(dòng)限制上一交易日結(jié)算價(jià)±4％及《鄭州商品交易所期貨交易風(fēng)險(xiǎn)控制管理辦法》相關(guān)規(guī)定最低交易保證金比例合約價(jià)值的6％合約交割月份1-12月交易時(shí)間每周一至周五（北京時(shí)間法定節(jié)假日除外）上午

9：00-11：30下午13：30-15：00最后交易日合約交割月份的第10個(gè)交易日最后交割日合約交割月份的第12個(gè)交易日交割品級(jí)見《鄭州商品交易所期貨交割細(xì)則》交割地點(diǎn)交易所指定交割地點(diǎn)交割方式實(shí)物交割交易代碼FG上市交易所