期权期货与衍生证券(五版)

MechanicsofFuturesMarketsChapter21FuturesContractsAvailableonawiderangeofunderlyingassetsExchangetradedSpecificationsneedtobedefined:Whatcanbedelivered,Whereitcanbedelivered,WhenitcanbedeliveredSettleddaily2MarginsAmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract3ExampleofaFuturesTradeAninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5contractsizeis100oz.futurespriceisUS$400marginrequirementisUS$2,000/contract(US$4,000intotal)maintenancemarginisUS$1,500/contract(US$3,000intotal)4APossibleOutcome

Table2.1,Page25

DailyCumulativeMarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0005-Jun397.00(600)

(600)

3,4000..................13-Jun393.30(420)

(1,340)

2,6601,340

.................19-Jun387.00(1,140)

(2,600)

2,7401,260

..................26-Jun392.30260

(1,540)

5,0600+=4,0003,000+=4,000<5OtherKeyPointsAboutFuturesTheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity6DeliveryIfacontractisnotclosedoutbeforematurity,itusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincash

7SomeTerminologyOpeninterest:thetotalnumberofcontractsoutstandingequaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelleachdayusedforthedailysettlementprocessVolumeoftrading:thenumberoftradesin1day8ConvergenceofFuturestoSpot(Figure

2.1,page23)

TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice9QuestionsWhenanewtradeiscompletedwhatarethepossibleeffectsontheopeninterest?Canthevolumeoftradinginadaybegreaterthantheopeninterest?10RegulationofFuturesRegulationisdesignedtoprotectthepublicinterestRegulatorstrytopreventquestionabletradingpracticesbyeitherindividualsontheflooroftheexchangeoroutsidegroups11Accounting&TaxIfacontractisusedforHedging:itislogicaltorecognizeprofits(losses)atthesametimeasontheitembeinghedgedSpeculation:itislogicaltorecognizeprofits(losses)onamarktomarketbasisRoughlyspeaking,thisiswhatthetreatmentoffuturesintheU.S.andmanyothercountriesattemptstoachieve12ForwardContractsvsFuturesContractsPrivatecontractbetween2partiesExchangetradedNon-standardcontractStandardcontractUsually1specifieddeliverydateRangeofdeliverydatesSettledatmaturitySettleddailyDeliveryorfinalcashsettlementusuallyoccursContractusuallyclosedoutpriortomaturityFORWARDSFUTURES

TABLE2.3(p.36)13ForeignExchangeQuotesFuturesexchangeratesarequotedasthenumberofUSDperunitoftheforeigncurrencyForwardexchangeratesarequotedinthesamewayasspotex