国际期货市场运作2BeginningwiththeBasics

1、Chapter 2Beginning with the Basics1Suppose that you and I lived in rural area. I raise beef cattle. You raise corn 15 miles down the road. Why do we need the futures market?2Each fall, when your corn comes in, you truck the entire crop to me, and I buy it to feed to my steers. To make things fair, w

2、e agree that I will pay you the cash price for corn on an exchange on the day I take delivery.3Corn is important to both of us. It is your principal crop; it is my main cost in feeding cattle.4Lets set our corn price now for next fall Lets pick a price that allows each of us a reasonable profit and

3、agree on it. 5Definition of a futures contractA futures contract is an agreement between a seller and a buyer. The agreement calls for a seller to deliver a specified quantity of a particular grade of a certain commodity or its cash equivalent to a predetermined location on a certain date.6What is R

4、isk Transfer and Why transfer it? Ask any farmer about the risks involved in growing a crop of corn. 7What is Risk Transfer and Why transfer it? If the weather during the growing season is too dry or too wet or too windy, the farmer may have a poor crop, but so will other farmers. 8Who Benefits from

5、 the Transfer of Risk?The transfer of risk using a futures contract can benefit the buyers, or the seller, or both. 9Who Benefits from the Transfer of Risk?The trader who took the other side of the corn transaction is unhappy to be losing $1 on the trade.The risk in this case has been transferred fr

6、om the producer (seller) to the buyer.10Who Benefits from the Transfer of Risk?On a broader scales, the consumer or end user benefits as well11Market ParticipantsFour broad categories of market participants in futures trading:ProducerEnd UserSpeculatorFloor Trader or Pit Broker12ProducerThese goods

7、can be anything from grain to livestock to Swiss francs to silver. The producer may be a seller of goods as well as a buyer. 13End UserThis group often consists of manufacturers or large users of raw products. 14SpeculatorThe speculator can be either a buyer or a seller, depending on his or her anal

8、ysis of and orientation to the markets. The speculator is often willing to take a position contrary to the current market trend in the hope of making a profit.15Price RiskPrice risk occurs as a result of time intervention in a transaction.16Price RiskIntense competitionSeasonal harvest and seasonal

9、demand.17Price RiskIn short, Time and unpredictable circumstances18The Early History of the Futures Contract in Europe and JapanIn medieval Europe, fair letters were the crude forerunners of the modern futures contract.The first recorded example of actual futures trading occurred in Japan in 1697.19

10、The History of the Futures Contract in ChinaZhengzhou Commodity Exchange (ZCE), the first futures market in China, was established on October 12th, 1990. ZCE started futures trading on May 28th, 1993 with 5 commodities listed.20Dalian Commodity Exchange (DCE) DCE was founded on February 28, 1993, an

11、d began futures trading on November 18 in the same year.21Shanghai Futures Exchange22CHAIRMAN OF CHINA SECURITIES REGULATORY COMMISSIONMr. Shang Fulin was born in November 1951 into a family of Han ethnic origin. 23China Securities Regulatory Commission Historical Background 24China Securities Regul

12、atory CommissionThe establishment of the State Council Securities Commission (the SCSC) and the China Securities Regulatory Commission (the CSRC) in October 1992 marked the formation of this regulatory body. 25China Securities Regulatory CommissionThe scope of the authority of the SCSC and the CSRC

13、gradually expanded with the growth of the securities markets. 26Regulation of the Futures Industry in USA In 1974, Congress passed the Commodity Futures Trading Commission Act.27National Futures Association (NFA)The National Futures Association (NFA) is a self-regulatory organization established in

14、1982. 28National Futures Association (NFA)To assure “high standards of professional conduct and financial responsibility” on the part of its members.29Who Is Required to Register with the CFTC ?Futures Commission Merchant (FCM)Introducing Broker (IB)Commodity Pool Operator (CPO)Commodity Trading Adv

15、isor (CTA)Associated person (AP)An AP is an individual who solicits orders, customers, or customer funds on behalf of an FCM, IB, CTA, or CPO.30Protection for the Individual Investor Potential abuses in the futures industry fall into three broad categories: unfair trading practices, credit and finan

16、cial risks, and sales practices abuses. Unfair trading practices include price manipulation, prearranged trading, and trading ahead of a customer.31Trading The Futures Contract 1If I choose to enter a contract as a buyer or a seller, what happens if the contract expires and I have to make good? Wher

17、e will I find all those pork bellies to deliver? What if Im a buyer? Will my freezer hold 40,000 pounds of frozen bacon? 32Trading The Futures Contract 2You have nothing to worry about.Fewer than 5 percent of all futures transactions result in delivery.The vast majority of contracts are offset or li

18、quidated prior to delivery.You can liquidate your position prior to the delivery date of the contract.33Trading The Futures Contract 3 A commodity futures trader enters into a futures contract by agreeing to sell a commodity or buy a commodity according to the precise contract specifications establi

19、shed by the exchange.34Trading The Futures Contract 4The position I have established is a “short” position.Now that I have a short position in corn, I have two alternatives. 35Defining MarginIn the futures market, both parties to the transaction put up earnest money, which is called margin.Margin us

20、ually amounts to approximately 1 percent to 5 percent of the contract value, depending upon requirements of the futures exchange. This is called initial margin.36 Who Sets Margin Requirements and Why 1Margin requirements are determined by and set by the various futures exchanges. 37Who Sets Margin R

21、equirements and Why 2If margins are raised suddenly and by a substantial amount, this is often an indication that the given futures exchange is concerned about the high price level of a market or about its volatility.38Margin and Broker ProtectionThe purpose of margin is to protect the broker and th

22、e brokerage house as well as the customer. 39Margin and Broker ProtectionSince the broker is liable in the event that a customer cannot meet a margin call, the house must set margins high enough to minimize the risk of the broker being liable for losses.40WHAT IS A HEDGE ?Hedging occurs when a produ

23、cer or end user takes a position in the futures market that is the opposite of his position in cash market. 41电解铜车间42铜材加工过程 电解铜铜杆铜线43Making an Example for a HedgeExample: Your are a copper company, you will produce 100-ton copper three month later, so you will sell them after 3 months. Now you want

24、to do a hedge for a protection of the 100-ton copper. 44In the futures market, you can sell 100 tons at 17,500 yuan pre ton in December. When the time reach December, if price decrease 100 yuan pre ton, in futures market you will get 10,000 yun (100tons100yuan) totally. Making an Example for a Hedge

25、45Making an Example for a HedgeSo the factual result is you lock in the price of your copper at 17,500 yuan pre ton in December. You can gain 1,750,000 in December. You do not lose money though the price goes down.46How Hedging Transfers Risk 1When a hedge is placed, risk is transferred from the hed

26、ger to the individual who has taken the other side of the contract.47Cash Market Futures Market- -Wheat price $3.85 Fall Sell wheat futures at $ 3.90Sell wheat at 3.44 Next May Buy wheat futures 3.49Loss $ .41/bushel Gain $ .41 Net gain or loss = 0Short Hedge in Wheat Futures($/bushel)48Short hedger

27、s comprise those who grow, store, process, or distribute a cash commodity. A China oil importer with a tanker of crude on the high seas would use a short hedge to protect his cargo from a price decline. A big mill would use a short hedge for the wheat stored in its warehouses. The common denominator

28、 is risk of loss due to a decline in the cash price.Short Hedge in Wheat Futures($/bushel)49Cash Market Futures Market- -Cash corn price $2.85 Now Buy corn futures at $ 2.96Buy cash corn at 3.10 3 Months later Sell corn futures 3.21Opportunity loss $ .25/bushel Gain $ .25/bushel Net gain or loss = 0

29、Long Hedge in Corn Futures50Advantages and Disadvantages of HedgingThe main advantage is that of locking in a price whether you are a buyer or a seller. The disadvantage is that when you lock in costs or profits, you may be doing so too soon and thereby limiting your profit potential.51Essential Elements for profitable Trading1. An Effective Trading System or Method2. Risk Management:3. Discipline: This includes all aspects of trader psychology: self-control, persistence, positive attitude, and so on. 52 An Effective Trading System or Metho