金融创新与衍生品

金融创新：衍生产品策略DerivativeSecuritiesFinancialinstrumentsthatderivetheirvaluesfromothertradedclaimsarecalledderivatives.Typically,thevalueoftheseinstrumentsisverycloselyrelatedtothevalueoftheunderlyingasset.Asaresultderivativesareusefulfor:–Speculatingontheunderlyingasset,and;–Hedgingtheunderlyingasset.Furthermore,arbitrageopportunitiesmaybepossibleiftheunderlyingassetandthederivativeassetarenotpricedconsistently.SpeculatorsandHedgersSpeculatorsareindividualshopetomakeaprofitbyclosingouttheirpositionsatapricethatisbetterthantheinitialprice.Theydonotproduceorusetheassetintheirdailycourseofbusiness.Hedgersareindividualswhousederivativestooffsetanotherwiseriskypositionintheunderlyingasset.Theyeitherproduceorusetheassetintheirdailycourseofbusiness.Example:WheatForwardsInawheatforwardcontracttwocounter-partiesagreetoexchangesomequantityofwheatatsomedateinthefutureatapricenegotiatedtoday.Awheatfarmerhasexposuretothefuturespotpriceofwheat.–Thespotpriceisthemarketpriceofwheatforimmediatedelivery.–Thecropplantedinthespringandharvestedinthefallwillbesoldatfallspotprices.Sincethesespotpricesareuncertain,theprofitsonthefarmer’scroparerisky.Arisk-aversefarmercanhedgethisriskbysellingwheatnowusingaforwardcontract.WheatForwardsWhomighttaketheoppositesideofthistrade?–Abreadproducermaywishtohedgeproductioncosts.–Aweatherforecastermayspeculatethatthefuturespotpricewillbewellabovetheforwardpriceandthereforeusethiscontractaspartofatradingstrategy(buyusingtheforwardcontractandsellinthefuturespotmarket).ArbitrageursTwobasictypesofarbitragetrades:–Investnothingandmakepositivefutureprofits;–Receiveprofitstodaywithoutanyfutureobligations.Arbitrageursusederivativecontractstoextractarbitrageprofits.–Theiractions,alongwithnormalsupplyanddemandforces,ensureconsistentrelationshipsamongtheunderlyingassetpricesandthederivativesecurityprices.WheatForwardsWhomightbeinapositiontoderivearbitrageprofitsfromwheatforwardcontracts?–Ifyouhaveatechnologyforstoringwheatandtheforwardpriceishighrelativetotoday’sspotprice,youmaywantto:•Borrowmoneytobuywheatnow,•Sellitwiththeforwardcontract,•Storeituntilthefall,•Deliverthewheatandusetheproceedstopaybackyourlenders.Noticethatthecostofstorageandlendingrateswillplaceaboundonhowhightheforwardpricecanbe(asortofno-arbitragebound).FuturesContracts-DefinitionAfuturescontractisanagreementbetweentwopartiestobuyorsellanassetatacertaintimeinthefutureforacertainprice.Characteristicsoffuturescontracts:–Tradedonanexchange;–Contractsarestandardized;–Clearinghouseseliminatedefaultrisk;–Marginisrequired.Futures-CommonExamples–Commodityfutures:•Wheat;•Crudeoil;•Gold;•Livecattle.–Financialfutures:•S&P500indexfutures;•T-billfutures;Futures–ContractSpecificationComponentsofcontractspecification:–Asset;–Contractsize;–Deliveryarrangements;•Cashorphysicaldelivery;•Place;•Time.–Pricequotes;–Pricemovementlimits;–Positionlimits.FuturesContracts-MarginWhenyouenterintoafuturescontract,thebrokertypicallyrequirethatyoudepositfundsintoamarginaccount.–Youmayormaynotearninterestonthisaccount.Atcontractinitiationyoudeposittheinitialmargin(alsocalledperformancemargin).Thisaccountis“marked-to-market”periodically.–Periodicprofits,asrepresentedbychangesinthefuturesprice,arecreditedtoordebitedfromyouraccount.Margin(cont’d)Youcanwithdrawanyfundsinexcessoftheperformancemargin.Ifyourmarginaccountbalancefallsbelowthemaintenancemarginyouwillreceiveamargincall,inwhichcaseyoumustdepositadditionalfunds(thevariationmargin)tobringyourbalancebacktotheinitialmarginlevel.Ifyoudonothonouramargincall,yourpositionisclosedout.MarginExampleTimefromcontractinitiationMarginAccountBalanceInitialMaintenanceMarginExampleFuturesonindex–Twocontracts,contractsize=$50Initialmargin-$1500/contractMaintenancemargin-$1000DayIndexLevelDailyGainMarginBalanceMarginCall100030001-Jun995-50025002-Jun1015200045003-Jun1005-100035004-Jun990-1500200010005-Jun9955003500ImportantPointsAsaninvestoryouhavemorethanyourinitialmarginatriskpriortomaturity.–Previousexample,couldlooseupto1000inindextermsor(1000x$50x2)=$100,000Youcanwithdrawexcessmargin.FuturesPayoffsLetFbethefuturespriceandSTbethespotpriceatmaturity.Thepayoutfromalongpositioninafuturescontract:ST–FThepayoutfromashortpositioninafuturescontract:F–STOptionContractsInanoptioncontractthewritergrantsthebuyertheoption,butnottheobligation,tobuyfromortoselltothewriteraspecificassetataspecificprice(calledthestrikeorexerciseprice)withinaspecifiedperiodoftime.OptionValueifExercisedKSharepriceBUYCALLKSharepriceSELLCALLExample:CallOptionCalloptiononMOT:K=$90Valueofoptionatdifferentstockprices:StockPrice$80$90$100$110$120OptionPayoff$0$0$10$20$30OptionValueifExercised•Valueoftheputoptionatexpiration:Payofftoputowner=K-STifSTKPayofftoputowner=0ifSTKSharepriceKKBUYPUTSELLPUTSharepriceOptionValueifExercisedOptionValueifExercisedExample:PutOptionDerivativeStrategiesWewillexaminehowderivativesmaybeusedto:–Eliminaterisk(hedge);–Modifyrisk(partiallyhedge);–Replicateotherpayoffsandcreatesyntheticpayoffs.OptionsStrategiesBasicoptionpayoffscanbeaddedtoget