FUTURESANDOPTIONSMARKETS(跨国公司财务管理-Jos

1MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley&SonsPowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton2CHAPTER8CURRENCYFUTURESANDOPTIONSMARKETS3CHAPTEROVERVIEWI.FUTURESCONTRACTSII.CURRENCYOPTIONS4PARTI.FUTURESCONTRACTSI.CURRENCYFUTURESA.Background1.1972:ChicagoMercantileExchangeopensInternationalMonetaryMarket.(IMM)5FUTURESCONTRACTS2.IMMprovidesa.anoutletforhedgingcurrencyriskwithfuturescontracts.b.Definitionoffuturescontracts:contractswrittenrequiring•astandardquantityofanavailablecurrency•atafixedexchangerate•atasetdeliverydate.6FUTURESCONTRACTSc.AvailableFuturesCurrencies:1.)Britishpound5.)Euro2.)Canadiandollar6.)Japaneseyen3.)Deutschemark7.)Australiandollar4.)Swissfranc7FUTURESCONTRACTSd.StandardContractSizes:contractsizesdifferforeachofthe7availablecurrencies.Examples:Euro=125,000BritishPound=62,5008FUTURESCONTRACTSe.Transactioncosts:paymentofcommissiontoatraderf.Leverageishigh1.)Initialmarginrequiredisrelativelylow(e.g.lessthan.02%ofsterlingcontractvalue).9FUTURESCONTRACTSg.Maximumpricemovements1.)Contractssettoadailypricelimitrestrictingmaximumdailypricemovements.10FUTURESCONTRACTS2.)Iflimitisreached,amargincallmaybenecessarytomaintainaminimummargin.11FUTURESCONTRACTSh.GlobalfuturesexchangesthatarecompetitorstotheIMM:1.)DeutscheTerminBourse2.)L.I.F.F.E.LondonInternationalFinancialFuturesExchange3.)C.B.O.T.ChicagoBoardofTrade12FUTURESCONTRACTS4.)S.I.M.E.X.SingaporeInternationalMonetaryExchange5.)H.K.F.E.HongKongFuturesExchange13FUTURESCONTRACTSB.Forwardvs.FuturesContractsBasicdifferences:1.TradingLocations6.SettlementDate2.Regulation7.Quotes3.Frequencyof8.Transactiondeliverycosts4.Sizeofcontract9.Margins5.Deliverydates10.Creditrisk14FUTURESCONTRACTSAdvantagesoffutures:1.)Smallercontractsize2.)Easyliquidation3.)Well-organizedandstablemarket.Disadvantagesoffutures:1.)Limitedto7currencies2.)Limiteddatesofdelivery3.)Rigidcontractsizes.15PARTIICURRENCYOPTIONSI.OPTIONSA.Currencyoptions1.offeranothermethodtohedgeexchangeraterisk.2.firstofferedonPhiladelphiaExchange(PHLX).3.fastestgrowingsegmentofthehedgemarkets.16CURRENCYOPTIONS4.Definition:acontractfromawriter(theseller)thatgivestherightnottheobligationtotheholder(thebuyer)tobuyorsellastandardamountofanavailablecurrencyatafixedexchangerateforafixedtimeperiod.17CURRENCYOPTIONS5.TypesofCurrencyOptions:a.Americanexercisedatemayoccuranytimeuptotheexpirationdate.b.Europeanexercisedateoccursonlyattheexpirationdate.18CURRENCYOPTIONS7.ExercisePricea.Sometimesknownasthestrikeprice.b.theexchangerateatwhichtheoptionholdercanbuyorsellthecontractedcurrency.19CURRENCYOPTIONS8.Statusofanoptiona.In-the-moneyCall:SpotstrikePut:Spotstrikeb.Out-of-the-moneyCall:SpotstrikePut:Spotstrikec.At-the-moneySpot=thestrike20CURRENCYOPTIONS9.Thepremium:thepriceofanoptionthatthewriterchargesthebuyer.21CURRENCYOPTIONSB.WhentoUseCurrencyOptions1.Forthefirmhedgingforeignexchangeriska.Withsizableunrealizedgains.b.Withforeigncurrencyflowsforthcoming.22CURRENCYOPTIONS2.Forspeculators-profitfromfavorableexchangeratechanges.23CURRENCYOPTIONSC.OptionPricingandValuation1.Valueofanoptionequalsa.Intrinsicvalueb.Timevalue24CURRENCYOPTIONS2.IntrinsicValuetheamountin-the-money3.TimeValuetheamounttheoptionisinexcessofitsintrinsicvalue.25CURRENCYOPTIONS4.Otherfactorsaffectingthevalueofanoptiona.valueriseswithlongertimetoexpiration.b.valueriseswhengreatervolatilityintheexchangerate.26CURRENCYOPTIONS5.Valueiscomplicatedbyboththehomeandforeigninterestrates.27CURRENCYOPTIONSD.UsingForwardorFuturesContracts:Forwardandfuturescontractsaremoresuitableforhedgingaknownamountofforeigncurrencyflow.28CURRENCYOPTIONSE.MarketStructure1.Locationa.OrganizedExchangesb.Over-the-counter1.)Twolevelsretailandwholesale