113分析金融市場與金融機(jī)構(gòu)chp11-derivative-在線瀏覽
2025-03-27 14:01本頁面
【正文】 some futures contract back to zero. Without a reversing trade the investor will be required to either deliver the product at the contract price (if the contract was sold) or purchase the product (if the contract was purchased). Forward vs. Futures Markets A buyer of a futures contract, with delivery in 60 days, can offset the position by selling the same contract one week later when 53 days remain to delivery. 39 Example of a Futures Trade An investor takes a long position in 2 December gold futures contracts on June 5 ? contract size is 100 oz. ? futures price is US$400 ? margin requirement is US$2,000/contract (US$4,000 in total) ? maintenance margin is US$1,500/contract (US$3,000 in total) 40 Daily Settlement Daily Cumulative Margin Futures Gain Gain Account Margin Price (Loss) (Loss) Balance Call Day (US$) (US$) (US$) (US$) (US$) 4,000 5Jun (600) (600) 3,400 0 . . . . . . . . . . . . . . . . . . 13Jun (420) (1,340) 2,660 1,340 . . . . . . . . . . . . . . . . . 19Jun (1,140) (2,600) 2,740 1,260 . . . . . . . . . . . . . . . . . . 26Jun 260 (1,540) 5,060 0 + = 4,000 3,000 + = 4,000 41 Some Terminology Open interest (未 平倉和約 ): the total number of contracts outstanding ? equal to number of long positions or number of short positions Settlement price (最后成交價(jià)格 ): the price just before the final bell each day Volume of trading: the number of trades in 1 day 42 Convergence of Futures to Spot Time Time (a) (b) Futures Price Futures Price Spot Price Spot Price 43 Purposes of Futures Markets ? Meets the needs of three groups of futures market users: ?1. Those who wish to discover information about future prices of modities (suppliers) ?2. Those who wish to speculate (speculators) ?3. Those who wish to transfer risk to some other party (hedgers) 44 Hedging Strategies Using Futures A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price A short futures hedge is appropriate when you know you will sell an asset in the future want to lock in the price 45 Financial Futures 1. Foreign currencies 2. Interest Rates 3. Stocks 46 1. Foreign Currencies ? a. British Pound ? b. German Mark ? c. Swiss Franc ? d. Canadian Dollar ? e. Mexican Peso ? f. Japanese Yen ? g. Australian dollar ? h. Euro ? a href= /a ? a href= /a 47 2. Interest Rates ? a. 90day Tbills ? b. 1Year Tbills ? c. 90day Bank CD’s ? d. 90day Eurodollar Deposits ? e. GNMA pass through Certificates ? f. US Treasury Notes ? g. US Treasury Bonds ? h. Municipal bonds ? i. Various 30day interest rate contracts (Fed funds) ? j. Various foreign government bonds (. bonds issued by the British, German, and Canadian governments). 48 3. Stock Index Futures ?a. DJIA ?b. S P Stock Index ?c. NYSE Composite Stock Index ?d. Value Line Composite ?e. Nasdaq 100 Index ?f. Russell 2023 Index The Collapse of Barings 49 Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps 50 An option …an agreement between two parties in which one gives the other the right , but not the obligation , to buy or sell a specific asset at a set price for a specified period of ti
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