INVESTMENTS 投资学 博迪BODIE, KANE, MARUSChap022 Futures Markets

1、investments | bodie, kane, marcuscopyright 2011 by the mcgraw-hill companies, inc. all rights reserved.mcgraw-hill/irwinchapter 22futures marketsinvestments | bodie, kane, marcus22-2 forward a deferred-delivery sale of an asset with the sales price agreed on now. futures - similar to forward but fea

2、ture formalized and standardized contracts. key difference in futuresstandardized contracts create liquiditymarked to marketexchange mitigates credit riskfutures and forwardsinvestments | bodie, kane, marcus22-3 a futures contract is the obligation to make or take delivery of the underlying asset at

3、 a predetermined price. futures price the price for the underlying asset is determined today, but settlement is on a future date. the futures contract specifies the quantity and quality of the underlying asset and how it will be delivered.basics of futures contractsinvestments | bodie, kane, marcus2

4、2-4basics of futures contracts long a commitment to purchase the commodity on the delivery date. short a commitment to sell the commodity on the delivery date. futures are traded on margin. at the time the contract is entered into, no money changes hands.investments | bodie, kane, marcus22-5basics o

5、f futures contracts profit to long = spot price at maturity - original futures price profit to short = original futures price - spot price at maturity the futures contract is a zero-sum game, which means gains and losses net out to zero.investments | bodie, kane, marcus22-6figure 22.2 profits to buy

6、ers and sellers of futures and option contracts investments | bodie, kane, marcus22-7figure 22.2 conclusions profit is zero when the ultimate spot price, pt equals the initial futures price, f0 . unlike a call option, the payoff to the long position can be negative because the futures trader cannot

7、walk away from the contract if it is not profitable.investments | bodie, kane, marcus22-8existing contracts futures contracts are traded on a wide variety of assets in four main categories:1. agricultural commodities2. metals and minerals3. foreign currencies4. financial futuresinvestments | bodie,

8、kane, marcus22-9trading mechanics electronic trading has mostly displaced floor trading. cbot and cme merged in 2007 to form cme group. the exchange acts as a clearing house and counterparty to both sides of the trade. the net position of the clearing house is zero.investments | bodie, kane, marcus2

9、2-10 open interest is the number of contracts outstanding. if you are currently long, you simply instruct your broker to enter the short side of a contract to close out your position. most futures contracts are closed out by reversing trades. only 1-3% of contracts result in actual delivery of the u

10、nderlying commodity.trading mechanicsinvestments | bodie, kane, marcus22-11figure 22.3 trading without a clearinghouse; trading with a clearinghouse investments | bodie, kane, marcus22-12 marking to market - each day the profits or losses from the new futures price are paid over or subtracted from t

11、he account convergence of price - as maturity approaches the spot and futures price convergemargin and marking to marketinvestments | bodie, kane, marcus22-13 initial margin - funds or interest-earning securities deposited to provide capital to absorb losses maintenance margin - an established value

12、 below which a traders margin may not fall margin call - when the maintenance margin is reached, broker will ask for additional margin fundsmargin and trading arrangementsinvestments | bodie, kane, marcus22-14trading strategiesspeculators seek to profit from price movement short - believe price will

13、 fall long - believe price will risehedgers seek protection from price movement long hedge - protecting against a rise in purchase price short hedge - protecting against a fall in selling priceinvestments | bodie, kane, marcus22-15 basis - the difference between the futures price and the spot price,

14、 ft pt the convergence property says ft pt= 0 at maturity.basis and basis riskinvestments | bodie, kane, marcus22-16 before maturity, ft may differ substantially from the current spot price. basis risk - variability in the basis means that gains and losses on the contract and the asset may not perfe

15、ctly offset if liquidated before maturity.basis and basis riskinvestments | bodie, kane, marcus22-17spot-futures parity theorem - two ways to acquire an asset for some date in the future:1. purchase it now and store it2. take a long position in futuresthese two strategies must have the same market d

16、etermined costsfutures pricinginvestments | bodie, kane, marcus22-18spot-futures parity theorem with a perfect hedge, the futures payoff is certain - there is no risk. a perfect hedge should earn the riskless rate of return. this relationship can be used to develop the futures pricing relationship.i

17、nvestments | bodie, kane, marcus22-19hedge example: section 22.4 investor holds $1000 in a mutual fund indexed to the s&p 500. assume dividends of $20 will be paid on the index fund at the end of the year. a futures contract with delivery in one year is available for $1,010. the investor hedges

18、by selling or shorting one contract . investments | bodie, kane, marcus22-20hedge example outcomesvalue of st 9901,010 1,030payoff on short (1,010 - st) 20 0 -20dividend income 20 20 20total1,030 1,030 1,030investments | bodie, kane, marcus22-21rate of return for the hedge%3000, 1000, 1)20010, 1 ()(

19、000ssdfinvestments | bodie, kane, marcus22-22the spot-futures parity theoremfrssdf000)(rearranging terms0000)1 ()1 (sdddrsdrsfffinvestments | bodie, kane, marcus22-23arbitrage possibilities if spot-futures parity is not observed, then arbitrage is possible. if the futures price is too high, short the futures and acquire the stock by borrowing the money at the risk free rate. if the futures price is too low, go long futures, short the stock and invest the proceeds at the risk free rate.investments | bodie, kane, marcus22-24spread pricing: parity for spreads12120102)(21(1)()(1)()(1)()()tf