茲維博迪金融學第二版課件Chapter14

Chapter14:

ForwardandFutures MarketsObjectiveHowtopriceforwardandfuturesStorageofcommoditiesCostofcarryUnderstandingfinancialfuturesChapter14:Contents14.1DistinctionBetweenForward&FuturesContracts14.2TheEconomicFunctionofFuturesMarkets14.3TheRoleofSpeculators14.4RelationBetweenCommoditySpot&FuturesPrices14.5ExtractingInformationfromCommodityFuturesPrices14.6Forward-SpotPriceParityforGold14.7FinancialFutures14.8The“Implied”RisklessRate14.9TheForwardPriceisnotaForecastoftheSpotPrice14.10Forward-SpotPrice-ParitywithCashPayouts14.11“Implied”Dividends14.12TheForeign-ExchangeParityRelation14.13TheRoleofExpectationsinDeterminingExchangeRates14.1DistinctionBetweenForward&FuturesContractspartiesagreetoexchangesomeiteminthefutureatadeliverypricespecifiednowtheforwardpriceisdefinedasthedeliverypricewhichmakesthecurrentmarketvalueofthecontractzeronomoneyispaidinthepresentbyeitherpartytotheotherthefacevalueofthecontractisthequantityoftheitemspecifiedinthecontractmultipliedbytheforwardpricethepartywhoagreestobuythespecifiedtakesthelongposition,andthepartywhoagreestoselltheitemtakestheshortpositionTermsOpen,High,Low,Settle,Change,Lifetimehigh,Lifetimelow,OpeninterestMark-to-marketMarginrequirementMargincallCharacteristicsofFuturesFuturesare:standardcontractsimmunefromthecreditworthinessofbuyerandsellerbecauseexchangestandsbetweentraderscontractsmarkedtomarketdailymarginrequirements14.2TheEconomicFunctionofFuturesMarketsThefuturesmarketsfacilitatethere-allocationofexposuretocommoditypriceriskamongmarketparticipantsBut:byprovidingameanstohedgethepriceriskassociatedwithstoringacommodity,futurescontractsmakeitpossibletoseparatethedecisionofwhethertophysicallystoreacommodityfromthedecisiontohavefinancialexposuretopricechangesTheEconomicFunctionofFuturesMarkets(Continued)Adistributor,j,mayhedgebysellingthecommodityonthespotmarketnowatapriceSsellingshortafuturescontractatapriceFanddeliverthecommodityataspecifiedtimeinthefuturetherewillbeacarryingcostCjfordistributorj,andshewillstoreonlyifCj<F-STheEconomicFunctionofFuturesMarkets(Continued)Thedifferencebetweenthefuturespriceandthespotprice,F-S,iscalledthespread,andgovernshowmuchwheatwillbestored,andbywhomTheEconomicFunctionofFuturesMarkets(Continued)Supposethecommodityiswheat,andnextyear’scropisexpectedtobemuchhigherthanaverage,thenfuturespricesmaybelowerthanthespot,(thespreadmaybenegative,)nobodywillstorewheatTheEconomicFunctionofFuturesMarkets(Continued)Theexistenceofthefuturesmarketforwheatconveysinformationtoallproducers,distributors,andconsumers;andthiseliminatesthenecessityformarketparticipantstogatherandprocessinformationinordertoforecastthefuturespotprice14.3TheRoleofSpeculatorsHedgeranyoneusingafuturesmarkettoreduceriskSpeculatoranyonewhotakesapositioninthemarket(increasinghisrisk)inordertoprofitfromhisforecastsoffuturespotprices(Aproducer,distributororconsumerwhochoosesnottohedgeherriskmaybeconsideredtobeaspeculator)TheRoleofSpeculators:ExampleSupposethatthecurrent1-monthfuturesinwheatis$1.5/bushel,andafarmingfamilywithstoredwheatbelievesthatthepricewillriseto$2.00Nothedgingthestoredwheatresultsinthefamilybeingexposedtothevagranciesofthewheatmarket,anditbecomes,ineffect,awheatspeculator(justliketheircobblercousinswhoarelongwheatfutures)TheRoleofSpeculators:GamblersandWastersCritic:“Speculatorshavenosocialvalue”Answer:Successfulspeculatorsmakethemarketmoreefficientasaninformationresourceprovideliquiditywhenitisneeded,whichiswhenproducers,distributors,andconsumerscan’torwon’thedgemoreefficientbycontributingtowardsrecoveringthefixedcostsofprovidingafuturesexchange14.4RelationshipBetweenCommoditySpotandFuturesPricesArbitrageursplaceanupperboundonfuturespricesbylockinginasureprofitonfuturespricesifthespreadbetweenthefuturespriceandspotpricebecomesgreaterthanthecostofcarry,F-S￡Cthecostofcarryvariesasafunctionoftimeandwarehousingorganization14.5ExtractingInformationfromCommodityFuturesPricesCase1If(FuturesPrice<CurrentSpot)ThenthefuturespriceisanindicatoroftheexpectedfuturespotpriceThefuturespriceisabiasedestimatebecausethereareriskpremiumsanddiscountsassociatedwithholdingthecommodityExtractingInformationfromCommodityFuturesPricesCase2If(FuturesPrice>CurrentSpot)ThenthefuturespriceisnotanindicatoroftheexpectedfuturespotpriceThespreadcannotexceedthecostofcarry14.6Spot-FuturesPriceParityforGoldInthecaseofgoldfutures,arbitrageestablishesanupper-andlower-boundonthespreadbetweenthefuturesandspotprices,resultinginthespot-futuresprice-parityrelationshipSpot-FuturesPriceParityforGoldTherearetwowaystoinvestingoldbuyanounceofgoldatS0,storeitforayearatastoragecostof$h/$S0,andsellitforS1investS0ina1-yearT-billwithreturnrf,andpurchasea1-ounceofgoldforward,F,fordeliveryin1-yearSpot-FuturesPriceParityforGoldAcontractwithlifeT:Thisisnotacausalrelationship,buttheforwardandcurrentspotjointlydeterminethemarketIfweknowone,thentheruleofonemarketdeterminesthatweknowtheotherSpot-FuturesPriceParityforGoldThefollowingdiagramshowshowtocreatesyntheticgold,T-bills,orgoldforwardcontractfromtheothertwoAllpricesarepredetermined,exceptthepriceoftheoneyearoftheforwardandthepriceinoneyearofthegold,butthedifferencebetweenthemisequaltotheknownfinancingandstoragecostsRuleofOnePrice:NoArbitrageProfitsPurchaseActualAuSellT-BillSellAuForwardSellActualAuSettleT-BillSettleAuForwardAu=GoldImpliedCostofCarryAsaconsequenceoftheforward-spotpriceparityrelationship,youcan’textractinformationabouttheexpectedfuturespotpriceofgold(unlikeonewheatcase)fromfuturespricesTheimpliedcostofcarry(per$spot)is h=(F-S0)/S0-rf14.7FinancialFuturesWenowfocusonfinancialfuturesstandardizedcontractsforfuturedeliveryofstocks,bonds,indices,andforeigncurrencytheyhavenointrinsicvalue,butrepresentclaimsonfuturecashflowstheyhaveverylowstoragecostssettlementisusuallyincashFinancialFuturesWithnostoragecost,therelationshipbetweentheforwardandthespotisAnydeviationfromthiswillresultinanarbitrageopportunityFinancialFutures:ExampleConsidersharesinBablonics,Inc,tradingat$50each,($5,000foraroundlot);assume6-monthT-billsyield6%(compoundedsemiannually)Bablonics,Inc(Continued)1PurchaseoneroundlotofstockatspotThisresultsinanegativecashflowtodayof$5,000(out),andwillgenerateacashflowof100*Spot6m(in)

insixmonthsBablonics,Inc(Continued)2Covertoday’snegativecashflowbysellingshort$5,000worthof6-monthT-billswithafacevalueof5000(1+0.06/2)^0.5=$5,150Thecashflowtodayis$5,000(in),andthecashflowinsixmonthstimewillbe$5,150(out)Bablonics,Inc(Continued)3Covertheriskexposurebyselling100sharesforwardattheequilibriumpriceof5000*(1+0.06/2)^0.5=$5,150Thereisnocashflowtoday,butthevalueofthisforwardcontractinsixmonthstimewillbe$(Spot6m-5,150)Bablonics,Inc(Continued)-$5,000(longstock)+$5,000(shortbond)+$0(shortforward)=$0Bablonics,Inc(Continued)CashFlowin6-Months+$Spot6m(settlelongstock)-$5,150(settleshortbond)+($5,150-$Spot6m)(settleforward)=$0Bablonics,Inc(Conclusion)Ifyournetrisk-freeinvestmentwaszero,andyoureceivenothingthatiswhatyoushouldexpectandyouexpectto:receivedpositivevaluewithnorisk,thentheruleofonepricehasbeenviolatedlosevaluewithnorisk,thenreversethedirectionofalltransactions,andagainyouprofitwithnorisk14.8The“Implied”RisklessRateRearrangingtheformula,theimpliedinterestrateonaforwardgiventhespotisThisisreminiscentoftheformulafortheinterestrateonadiscountbond14.9TheForwardPriceisnotaForecastoftheFutureSpotPriceFollowingthediagramsinChapter12wemightsupposethattheexpectedpriceofastockisIfthisisindeedcorrect,thentheforwardpriceisnotanindicatoroftheexpectedspotpriceatthematurityoftheforwardTheForwardPriceisnotaForecastoftheFutureSpotPriceTheforwardpriceisobtainedwithoutriskfromthecurrentspotandrisklessbondThespotvalueatafuturedateisobtainedbyinvestinginthesecurityandaccepting(market)risk,andthisriskmustberewarded14.10Forward-SpotPrice-ParityRelationwithCashPayoutsSofarwehaveassumedthatthereisnodividendNowsupposethateverybodyexpectsanuncertaindividendin1yearofDItisnotpossibletoreplicateDbecauseofthisuncertaintyWewilltreatDasifitwereknownwithcertainty,andonlydealwith1-yearforwardsForward-SpotParitywithCashPayoutsTheS0-FrelationshipbecomesNote:(forwardprice>thespotprice)if(D<rS)BecauseDisnotknownwithcertainty,thisisaquasi-arbitragesituation14.11“Implied”DividendsFromthelastslide,wemayobtaintheimplieddividend14.12TheForeignExchangeParityRelationRecallfromChapter2thefollowingdiagram:ExchangeRateExample15000￥(Borrowed)15450￥15450￥(Repaid)

￡100(Invested)￡109(Matures)Time3%￥/￥(direct)3%￥/￡/￡/￥150￥/￡9%￡/￡Forward￥/￡JapanU.K.TheForeignExchangeParityRelationWeusedthediagramtoshowthatRecallthereisatimestructureofintere