《期货市场运作机制》PPT课件.ppt

第二章 期货市场运作机制,董彦峰,目录,期货合约的开仓与平仓,期货合约的规定,期货价格收敛到现货价格,保证金运作,4,1,2,3,目录,场外市场,报价,交易与交割,远期与期货比较,8,5,6,7,2.1 期货的开仓与平仓,大多数期货交易不会导致实物交割，其原因是大多数投资者在合约规定的交割期到来之前会选择平仓。 开仓建立新的合约头寸； 平仓对冲原有合约头寸，方向相反的交易。,2.2 期货合约的规定,标的资产 合约规模 交割安排 交割月份 报价方式 涨跌停板 头寸限额,2.3 期货价格收敛到现货价格的特性,在到达交割日期时，期货价格应等于或非常接近现货价格。 如果不收敛，则存在一个显而易见的套利机会： 卖出一个期货合约 买入资产 进行交割,2.4 保证金的运作,保证金： 初始保证金（开仓时必须存入的资金量） 维持保证金（最小保余额，常为初始的75%） 变动保证金（补足到初始水平的追加资金） 每日结算： 逐日盯市：在交易日结束时，保证金账户的余额数量将被调整以反映投资者的盈亏。 实际上，期货合约每天都要平仓，然后以全新的价格开仓。,2.4 保证金运作,清算中心 交易所的附属机构，期货交易的媒介，保证交易双方履行合约； 会员必须在交易所注入资金，非会员经纪人必须通过会员开展业务； 对每日交易进行记录，以便就算每一个会员的净头寸。 结算保证金 会员开设的保证金账户中保证金，只有初始保证金，没有维持保证金。 非会员必须在会员那里开设保证金账户。,2.5 场外市场,在场外交易中，交易对手总有一定概率会违约。为了降低信用风险，场外市场通过设定抵押品策略来模仿保证金系统的运作。 清算中心在场外市场得以应用，但局限于标准化的场外市场合约。,2.6 报价,价格 开盘价 最高价 最低价 结算价格 用于每日结算，交易日结束之前即时成交的期货合约价格。 未平仓合约数量 正在交易的合约数量的总和=长头寸总和=短头寸总和 期货价格模式 正常市场：价格随合约期限递增 反向市场：价格随合约期限递减,2.7 交易与交割,交易员类型 佣金经纪人 自营经纪人 对冲者 套利者 投机者：黄牛（几分钟）、日间交易员（不超过一个交易日）、头寸交易员（持有期限较长） 交易指令类型 市场指令、限价指令、止损指令（转市价和转限价）、触及市价指令,2.7 交易与交割,通常规则： 交易所将交割产品意向书转给持有长头寸最久的投资者，其必须接受交个通知 三个重要的日期： 第一交割通知日 最后交割通知日 最后交易日,2.8 远期和期货的比较,Click to edit title style,Text in here,Text in here,Contents,Contents,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design Inc.,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design Inc.,Description of the contents Description of the contents,Description of the business,Description of the business,Description of the business,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design Inc.,Description of the contents,Description of the contents,Click to edit title style,2005,2006,2007,2008,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design Inc.,Click to edit title style,Description of the contents,Text in here,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design Inc.,Text in here,ThemeGallery is a Design Digital Content & Contents mall developed by Guild Design 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