期权期货与衍生证券(第五版)-CH02HullOFOD5Ebw

1MechanicsofFuturesMarketsChapter22FuturesContractsAvailableonawiderangeofunderlyingassetsExchangetradedSpecificationsneedtobedefined:Whatcanbedelivered,Whereitcanbedelivered,WhenitcanbedeliveredSettleddaily3MarginsAmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract4ExampleofaFuturesTradeAninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5contractsizeis100oz.futurespriceisUS$400marginrequirementisUS$2,000/contract(US$4,000intotal)maintenancemarginisUS$1,500/contract(US$3,000intotal)5APossibleOutcomeTable2.1,Page25DailyCumulativeMarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0005-Jun397.00(600)(600)3,4000..................13-Jun393.30(420)(1,340)2,6601,340.................19-Jun387.00(1,140)(2,600)2,7401,260..................26-Jun392.30260(1,540)5,0600+=4,0003,000+=4,0006OtherKeyPointsAboutFuturesTheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity7DeliveryIfacontractisnotclosedoutbeforematurity,itusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincash8SomeTerminologyOpeninterest:thetotalnumberofcontractsoutstandingequaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelleachdayusedforthedailysettlementprocessVolumeoftrading:thenumberoftradesin1day9ConvergenceofFuturestoSpot(Figure2.1,page23)TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice10QuestionsWhenanewtradeiscompletedwhatarethepossibleeffectsontheopeninterest?Canthevolumeoftradinginadaybegreaterthantheopeninterest?11RegulationofFuturesRegulationisdesignedtoprotectthepublicinterestRegulatorstrytopreventquestionabletradingpracticesbyeitherindividualsontheflooroftheexchangeoroutsidegroups12Accounting&TaxIfacontractisusedforHedging:itislogicaltorecognizeprofits(losses)atthesametimeasontheitembeinghedgedSpeculation:itislogicaltorecognizeprofits(losses)onamarktomarketbasisRoughlyspeaking,thisiswhatthetreatmentoffuturesintheU.S.andmanyothercountriesattemptstoachieve13ForwardContractsvsFuturesContractsPrivatecontractbetween2partiesExchangetradedNon-standardcontractStandardcontractUsually1specifieddeliverydateRangeofdeliverydatesSettledatmaturitySettleddailyDeliveryorfinalcashsettlementusuallyoccursContractusuallyclosedoutpriortomaturityFORWARDSFUTURESTABLE2.3(p.36)14ForeignExchangeQuotesFuturesexchangeratesarequotedasthenumberofUSDperunitoftheforeigncurrencyForwardexchangeratesarequotedinthesamewayasspotexchangerates.ThismeansthatGBP,EUR,AUD,andNZDareUSDperunitofforeigncurrency.Othercurrencies(e.g.,CADandJPY)arequotedasunitsoftheforeigncurrencyperUSD.