衍生工具第2章宋凌峰

Chapter2MechanicsofFuturesMarkets1期货合约AvailableonawiderangeofassetsExchangetradedSpecificationsneedtobedefined:◦Whatcanbedelivered,◦Whereitcanbedelivered,&◦WhenitcanbedeliveredSettleddaily2期货与现货价格的收敛(Figure2.1,page26)3TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice保证金AmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract4ExampleofaFuturesTrade(page27-29)Aninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5◦contractsizeis100oz.◦futurespriceisUS$1250◦initialmarginrequirementisUS$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…..…..…..…..……161,226.90780−4,62015,180MarginCashFlowsWhenFuturesPriceIncreases7LongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrokerShortTraderMarginCashFlowsWhenFuturesPriceDecreases8LongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrokerShortTrader术语Openinterest:thetotalnumberofcontractsoutstanding◦equaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelleachday◦usedforthedailysettlementprocessVolumeoftrading:thenumberoftradesinoneday9期货的特点TheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity10CrudeOilTradingonMay26,201011OpenHighLowSettleChangeVolumeOpenIntJul201070.0671.7069.2171.512.766,315388,902Aug201071.2572.7770.4272.542.443,746115,305Dec201074.0075.3473.1775.232.195,055196,033Dec201177.0178.5976.5178.532.004,175100,674Dec201278.5080.2178.5080.181.861,25870,126场外市场的抵押ItisbecomingincreasinglycommonfortransactionstobecollateralizedinOTCmarketsConsidertransactionsbetweencompaniesAandBThesemightbebegovernedbyanISDAMasteragreementwithacreditsupportannex(CSA)TheCSAmightrequireAtopostcollateralwithBequaltothevaluetoBofitsoutstandingtransactionswithBwhenthisvalueispositive.12场外市场的抵押IfAdefaults,BisentitledtotakepossessionofthecollateralThetransactionsarenotsettleddailyandinterestispaidoncashcollateralSeeBusinessSnapshot2.2forhowcollateralizationaffectedLongTermCapitalManagementwhentherewasa“flighttoquality”in2008.13场外市场与清算所TraditionallytransactionshavebeenclearedbilaterallyinOTCmarketsFollowingthe2007-2009crisis,thehasbeenarequirementformoststandardizedOTCderivativestransactionstobeclearedcentrallythoughclearinghouses.14BilateralClearingvsCentralClearingHouse15交割Ifafuturescontractisnotclosedoutbeforematurity,itisusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincash16QuestionsWhenanewtradeiscompletedwhatarethepossibleeffectsontheopeninterest?Canthevolumeoftradinginadaybegreaterthantheopeninterest?17交易指令LimitStop-lossStop-limitMarket-iftouchedDiscretionaryTimeofdayOpenFillorkill18监管IntheUS,theregulationoffuturesmarketsisprimarilytheresponsibilityoftheCommodityFuturesandTradingCommission(CFTC)Regulatorstrytoprotectthepublicinterestandpreventquestionabletradingpractices19Accounting&TaxIdeallyhedgingprofits(losses)shouldberecognizedatthesametimeasthelosses(profits)ontheitembeinghedgedIdeallyprofitsandlossesfromspeculationshouldberecognizedonamark-to-marketbasisRoughlyspeaking,thisiswhattheaccountingandtaxtreatmentoffuturesintheU.S.andmanyothercountriesattempttoachieve20远期与期货(Table2.3,page41)21ContractusuallyclosedoutPrivatecontractbetween2partiesExchangetradedNon-standardcontractStandardcontractUsually1specifieddeliverydateRangeofdeliverydatesSettledatendofcontractSettleddailyDeliveryorfinalcashsettlementusuallyoccurspriortomaturityFORWARDSFUTURESSomecreditriskVirtuallynocreditriskForeignExchangeQuotesFuturesexchangeratesarequotedasthenumberofUSDperunitoftheforeigncurrencyForwardexchangeratesarequotedinthesamewayasspotexchangerates.ThismeansthatGBP,EUR,AUD,andNZDarequotedasUSDperunitofforeigncurrency.Othercurrencies(e.g.,CADandJPY)arequotedasunitsoftheforeigncurrencyperUSD.2223玻璃期货合约设计交易品种平板玻璃交易单位20吨/手报价单位元（人民币）/吨最小变动价位1元/吨每日价格波动限制上一交易日结算价±4％及《郑州商品交易所期货交易风险控制管理办法》相关规定最低交易保证金比例合约价值的6％合约交割月份1-12月交易时间每周一至周五（北京时间法定节假日除外）上午9：00-11：30下午13：30-15：00最后交易日合约交割月份的第10个交易日最后交割日合约交割月份的第12个交易日交割品级见《郑州商品交易所期货交割细则》交割地点交易所指定交割地点交割方式实物交割交易代码FG上市交易所郑州商品交易所24交割标的1、符合《中华人民共和国国家标准平板玻璃》（GB11614-2009）的5mm无色透明平板玻璃（不大于2m×2.44m）一等品。几个关键点：5mm、无色透明、一等品、尺寸替代交割品：4mm，无升帖水其他型号厚度的玻璃：可根据玻璃厂商公告信息选择相应的规格、品级、厚度等，涉及价差的，由双方自行协商、结算。2、基准地：华东汽车板交货价3、包装要求：裸包，木箱等其它包装涉及的费用额外加25保证金26持仓限制27套保申请郑商所玻璃期货行情（2013-2-22）28郑商所玻璃期货（305）走势（2013-2-22）29郑商所玻璃期货（305）交易明细（2013-2-22）3031仓单注册交易所指定的玻璃厂