必讲外汇期货与外汇期权.ppt

7-1 INTERNATIONAL FINANCIAL MANAGEMENT 7-2 INTERNATIONAL FINANCIAL MANAGEMENT EUN / RESNICK Fourth Edition Chapter Objective: This chapter discusses exchange-traded currency futures contracts(交易所交易的货币期货合约), options contracts, and options on currency futures. 7 Chapter Seven Futures and Options on Foreign Exchange 7-3 引言 1995年，巴林银行的一个不端交易员尼克利森（Nick Leeson）因建 立各种未做套期保值的交易所交易的期货和期权合约，主要为新加坡国际 货币交易所交易的日经225股票指数期货，导致巴林银行损失约14亿美元 而破产。最后，巴林银行被荷兰银行和保险财团ING集团所接管，因欺诈 交易而入狱的交易员则先是在德国监狱服刑9个月（因为事件败露后他曾 逃往德国），然后转到新加坡监狱继续服刑3年零7个月。 2008年，据法国第二大银行法国兴业银行披露，该行一名31岁的不端 交易员杰洛米科维尔（Jrme Kerviel）未经授权买入总额高达730亿美元 的欧洲股票指数期货合约，因股票走势不利于其持有的头寸，招致法国兴 业银行损失约72亿美元。该交易员通过侵入旨在监控交易情况的电脑系统 ，避开正常的风险管理措施，从而将其交易头寸掩盖了数月。2010年，他 被法国巴黎刑事法庭判处5年监禁、缓刑2年，赔偿法兴银行49亿欧元的损 失，终身不得再从事金融领域的工作。 以上例子表明，若出于投机目的，期货和期权合约是高风险投资。 本章的内容将和第5章、第6章的内容一起，为第8章、第9章、第10 章的内容奠定学习基础。而第8、9、10章内容是如何运用这些工具规避外 汇风险。 7-4 Chapter Outline lFutures Contracts: Preliminaries（预备知识） lCurrency Futures Markets lBasic Currency Futures Relationships（货币期货的基 本关系） lEurodollar Interest Rate Futures Contracts lOptions Contracts: Preliminaries lCurrency Options Markets lCurrency Futures Options 7-5 Chapter Outline (continued) lBasic Option Pricing Relationships at Expiry（期 权到期时的基本定价关系） lAmerican Option Pricing Relationships lEuropean Option Pricing Relationships lBinomial Option Pricing Model lEuropean Option Pricing Model lEmpirical Tests（实证检验） of Currency Option Models 7-6 Futures Contracts: Preliminaries lA futures contract is like a forward contract: nIt specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today. lA futures contract is different from a forward contract: nFutures are standardized contracts trading on organized exchanges with daily resettlement（每 日结算） through a clearinghouse. 7-7 Futures Contracts: Preliminaries lStandardizing Features: nContract Size （合约规模) nDelivery Month (交割月份) nDaily resettlement lInitial performance bond（Initial margin，初始履 约保证金）and Maintenance performance bond (Maintenance margin，维持保证金，about 2 percent of contract value, cash or T-bills（国库券） held at your brokerage). 7-8 Daily Resettlement: An Example lConsider a long position in the CME Euro/U.S. Dollar contract. lIt is written on 125,000 and quoted in $ per . lThe strike price（执行价格） is $1.30 the maturity （到期 ） is 3 months. lAt initiation of the contract, the long posts an initial performance bond of $6,500. lThe maintenance performance bond (维持保证金） is $4,000. 7-9 Daily Resettlement: An Example lRecall that an investor with a long position gains from increases in the price of the underlying asset. lOur investor has agreed to BUY 125,000 at $1.30 per euro in three months time. lWith a forward contract, at the end of three months, if the euro was worth $1.24, he would lose $7,500 = ($1.24 $1.30) 125,000. lIf instead at maturity the euro was worth $1.35, the counterparty to his forward contract would pay him $6,250 = ($1.35 $1.30) 125,000. 7-10 Daily Resettlement: An Example lWith futures, we have daily resettlement of gains or losses rather than one big settlement at maturity. lEvery trading day: nif the price goes down, the long pays the short nif the price goes up, the short pays the long lAfter the daily resettlement, each party has a new contract at the new price with one-day-shorter maturity （到到期日又缩短一天）. 7-11 Performance Bond Money lEach days losses are subtracted from the investors account. lEach days gains are added to the account. lIn this example, at initiation the long posts an initial performance bond of $6,500. lThe maintenance level is $4,000. nIf this investor loses more than $2,500 he has a decision to make: he can maintain his long position only by adding more fundsif he fails to do so, his position will be closed out（清算） with an offsetting short position. 7-12 Daily Resettlement: An Example lOver the first 3 days, the euro strengthens then depreciates in dollar terms: $1,250 $1,250 $1.31 $1.30 $1.27$3,750 Gain/LossSettle = ($1.31 $1.30)125,000$7,750 $6,500 $2,750 Account Balance = $6,500 + $1,250 On third day suppose our investor keeps his long position open by posting an additional $3,750. + $3,750 = $6,500 7-13 Daily Resettlement: An Example lOver the next 2 days, the long keeps losing money and closes out his position at the end of day five. $1,250 $1,250 $1.31 $1.30 $1.27 $1.26 $1.24 $3,750 $1,250 $2,500 Gain/LossSettle $7,750 $6,500 $2,750 + $3,750 = $6,500 $5,250 $2,750 Account Balance = $6,500 $1,250 7-14 Totting Up （累加） lAt the end of his adventures, our investor has three ways of computing his gains and losses: nSum of daily gains and losses $7,500 = $1,250 $1,250 $3,750 $1,250 $2,500 nContract size times the difference between initial contract price and last settlement price. $7,500 = ($1.24/ $1.30/) 125,000 nEnding balance on account minus beginning balance on account, adjusted for deposits or withdrawals. $7,500 = $2,750 期末余额 ($6,500期初余额 + $3,750本期追加额) 7-15 Daily Resettlement: An Example Total loss = $7,500 $1,250 $1,250 $1.31 $1.30 $1.27 $1.26 $1.24 $3,750 $1,250 $2,500 Gain/LossSettle $7,750 $6,500 $2,750 + $3,750 $5,250 $2,750 Account Balance = $2,750 ($6,500 + $3,750) $1.30$6,500 = ($1.24 $1.30) 125,000 7-16 Currency Futures Markets lThe Chicago Mercantile（商业） Exchange Group (CME) is by far the largest. lOthers include: nThe Philadelphia Board of Trade (PBOT，费城交易所) nThe Mid America commodities Exchange（美国中部商 品交易所） nThe Tokyo International Financial Futures Exchange （东京国际金融期货交易所） nThe London International Financial Futures Exchange （伦敦国际金融期货交易所） 7-17 The Chicago Mercantile Exchange lExpiry cycle（到期周期）: March, June, September, December. lDelivery date（交割日）： third Wednesday of delivery month. lLast trading day is the second business day preceding the delivery day. lCME hours 7:20 a.m. to 2:00 p.m. CST（ central standard time，中部标准时间）. 7-18 CME After Hours lExtended-hours trading on GLOBEX runs from 2:30 p.m. to 4:00 p.m dinner break and then back at it from 6:00 p.m. to 6:00 a.m. CST. lThe Singapore International Monetary Exchange Ltd., SIMEX, offers interchangeable contracts（互 换合约）. lThere are other markets, but none are close to CME and SIMEX trading volume. 7-19 Reading Currency Futures Quotes OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 1.3170 1.3193 1.3126 1.3140-.00251.3699 1.1750Jun10,096 Highest price that day Lowest price that day Closing price Daily Change Highest and lowest prices over the life of the contract. Number of open contracts Expiry month Opening price 7-20 Basic Currency Futures Relationships lOpen Interest（未平仓合约） refers to the number of contracts outstanding（未了结的） for a particular delivery month. lOpen interest is a good proxy for demand for a contract. lSome refer to open interest as the depth of the market. The breadth of the market would be how many different contracts (expiry month, currency) are outstanding. 7-21 Reading Currency Futures Quotes OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 1.3170 1.3193 1.3126 1.3140-.00251.3699 1.1750Jun10,096 1.3202 1.3225 1.3175 1.3182-.00251.3711 1.1750Sept600 Notice that open interest is greatest in the nearby contract, in this case March, 2005. In general, open interest typically decreases with term to maturity of most futures contracts. 7-22 Basic Currency Futures Relationships The holder of a long position is committing himself to pay $1.3112 per euro for 125,000a $163,900 position. As there are 159,822 such contracts outstanding, this represents a notional principal of over $26 billion! OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 7-23 Basic Currency Futures Relationships Notice that if you had been smart or lucky enough to open a long position at the lifetime low of $1.1363 by now your gains would have been $21,862.50 = ($1.3112/ $1.1363/) 125,000 OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 Bear in mind that someone was unfortunate enough to take the short position at $1.1363! 7-24 Basic Currency Futures Relationships If you had been smart or lucky enough to open a short position at the lifetime high of $1.3687 by now your gains would have been: $7,187.50 = ($1.3687/ $1.3112/) 125,000 OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 7-25 Reading Currency Futures Quotes OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 1.3170 1.3193 1.3126 1.3140-.00251.3699 1.1750Jun10,096 1.3202 1.3225 1.3175 1.3182-.00251.3711 1.1750Sept600 1 + i 1 + i$F($/) S($/) = Recall from chapter 6, our interest rate parity condition: 7-26 Reading Currency Futures Quotes OPENHIGHLOW SETTLE CHG LIFETIMEOPEN INTHIGHLOW Euro/US Dollar (CME)125,000; $ per 1.3136 1.3167 1.3098 1.3112-.00251.3687 1.1363Mar159,822 1.3170 1.3193 1.3126 1.3140-.00251.3699 1.1750Jun10,096 1.3202 1.3225 1.3175 1.3182-.00251.3711 1.1750Sept600 From June 15 to September 21, 2005 (the actual delivery dates of these contracts) we should expect higher interest rates in dollar denominated（计价）accounts: if we find a higher interest rate in a euro denominated account, we may have found an arbitrage. 7-27 例7-2 采用货币期货来投机或套期保值 假设某期货交易商在2010年6月2日开立了一个头寸，以$1.2253/买入 一份2010年9月到期的欧元期货合约。该交易商持有这一头寸一直到 最后交易日，价格为$1.2098/，由于期货价格与现货价格在最后交易 日趋同这也是最后的结算价格（如果不趋同就会存在期货市场和现货 市场的套利机会）。该交易商是盈利还是亏损取决于他6月份在欧元 期货合约中是多头还是空头，假定交易商持有的是多头头寸： 1、如果他是投机者最后结算时一般并不真正买进欧元，那么从6月2 日到9月15日累计损失1937.5美元=(1.2098-1.2253)*125000。这些亏损 每日结算时将从他的保证金账户中扣除。如果他进行实际交割，那么 他将为这125000欧元交割时再付出151225美元（= 1.2098*125000）， 不过，他的实际总成本为153162.5美元( = 1.2253*125000= 151225 + 1937.5 )，这其中包括从保证金账户中扣除的金额。 2、如果他是套期保值者，希望在9月15日以$1.2253/买入125000欧元 ，那么该交易商通过建立9月份的欧元多头期货合约来锁定153162.5美 元的买入价。 7-28 例7-2 采用货币期货来投机或套期保值 假设某期货交易商在2010年6月2日开立了一个头寸，以$1.2253/买入 一份2010年9月到期的欧元期货合约。该交易商持有这一头寸一直到 最后交易日，价格为$1.2098/。假定交易商持有的是空头头寸： 1、如果他是投机者最后结算时一般并不真正卖出欧元，那么从6月2 日到9月15日累计盈利1937.5美元=(1.2253-1.2098)*125000。这些盈利 每日结算时将加到其保证金账户。如果他进行实际交割，那么他将再 收到151225美元（= 1.2098*125000，现货市场成本也是151225美元） ，不过，他实际得到的总金额为153162.5美元( = 1.2253*125000= 151225 + 1937.5 )，这其中包括存入其保证金账户的金额。 2、如果他是套期保值者，希望在9月15日以$1.2253/卖出125000欧元 ，那么该交易商通过建立9月份的欧元空头期货合约来锁定153162.5美 元的卖价。 下页ppt中图描述的是这些多头与空头期货头寸。 7-29 EXHIBIT 7.4 Graph of Long and Short Positions in the September 2010 Euro Futures Contract 应为 FSep ($/) 应为 -FSep ($/) 7-30 讨论：FSep ($/)代表9月份交割的欧元期货合约价格，这个价格一直到 到期日是固定的吗？ 猜测：这个价格是不固定的，每个交易日都是在变化的。也就是上例 中说的2010年6月2日买入的FSep ($/)和 6月3日买入的FSep ($/)很可能 是不同的。根据在CME网站上的实测，每过39秒这个价格就会更新一 次。也就是说，如果初始买入时间的不同，即使每个买入9月份交割的 期货合约并持有到期，最终结算价格相同，但由于初始买入价格的不 同，总盈亏是不同的。 而最终9月份交割的期货合约价格在临近到期日将与现货市场的价 格趋同。当然现货和期货价格是相互影响的。 7-31 Eurodollar Interest Rate Futures Contracts （不讲） lWidely used futures contract for hedging short-term U.S. dollar interest rate risk. lThe underlying asset is a hypothetical $1,000,000 90-day Eurodollar depositthe contract is cash settled. lTraded on the CME and the Singapore International Monetary Exchange. lThe contract trades in the March, June, September and December cycle. 7-32 Reading Eurodollar Futures Quotes （不讲） Eurodollar futures prices are stated as an index number of three-month LIBOR calculated as LIBOR = 100 F. The closing price for the June contract is 96.56 thus the implied yield is 3.44 percent = 100 96.56 Since it is a 3-month contract one basis point（一个基点，万分之一） corresponds to a $25 price change: 0.01 percent of $1 million represents $100 on an annual basis（1个基点1年变动100美元）. 国财5版Page142-143 例7-3 OPENHIGHLOW SETTLE CHG OPEN INTYLDCHG Eurodollar (CME)1,000,000; pts of 100% 96.5696.5896.5596.56-3.44-Jun1,398,959 7-33 Options Contracts: Preliminaries lAn option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today. lCalls vs. Puts nCall options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. nPut options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today. 7-34 对于即期市场、远期市场、期货市场，long和short直接与underlying asset搭配；对于期权市场，long和short与call和put搭配，call和put与 underlying asset搭配。 7-35 Options Contracts: Preliminaries 以中国权证市场为例，可知期权市场的一些特征： 1、在其他条件相同情况下，对于看涨期权（Call Option）， 执行价格（Exercise price）越高，期权费越低；对于看跌期 权（Put Option），执行价格（Exercise price）越高，期权费 越高。 2、对于同一个期权，金融机构报出两个价格，一个买价，一 个卖价，卖价要高于买价，这里的卖价和买价都是站在金融 机构的角度来看的。例如，投资者从金融机构买入一个Call Option所支付的期权费（卖价）要高于投资者将该Call Option 卖给金融机构所收到的期权费（买价）。 7-36 Options Contracts: Preliminaries lEuropean vs. American options nEuropean options can only be exercised on the expiration date. nAmerican options can be exercised at any time up to （直到）and including the expiration date. nSince this option to exercise early generally has value, American options are usually worth more than European options, other things equal. 7-37 Options Contracts: Preliminaries 以下是对于 call option 而言的： lIn-the-money nThe exercise price is less than the spot price （现货价格） of the underlying asset. lAt-the-money nThe exercise price is equal to the spot price of the underlying asset. lOut-of-the-money nThe exercise price is more than the spot price of the underlying asset. 7-38 Options Contracts: Preliminaries lIntrinsic Value nThe difference between the exercise price of the option and the spot price of the underlying asset. lSpeculative Value nThe difference between the intrinsic value and the option premium of the option. Option Premium = Intrinsic Value - Speculative Value 7-39 Currency Options Markets PHLX（Philadelphia Stock Exchange，费城股票交易所） HKFE（Hong Kong Futures Exchange Limited，香港期货 交易所） OTC volume is much bigger than exchange volume. Trading is in six major currencies against the U.S. dollar.（澳大利亚元、加拿大元、英镑、欧元、 日元、瑞士法郎） 7-40 PHLX Currency Option Specifications CurrencyContract Size Australian dollarAD10,000 Canadian dollarCD10,000 British pound10,000 Euro10,000 Swiss francSF10,000 Japanese yen1,000,000 7-41 Currency Futures Options lThey are an option on a currency futures contract. lExercise of a currency futures option results in a long futures position for the holder of a call or the writer of a put. lExercise of a currency futures option results in a short futures position for the seller of a call or the buyer of a put. lExercise of a currency futures option results in a situation，if the futures position is not offset prior to its expiration, foreign currency will change hands. 7-42 Currency Futures Options Why a derivative on a derivative （dirivtiv，衍生品）? It is related to Transactions costs and liquidity. For some assets, the futures contract can have lower transactions costs and greater liquidity than the underlying asset. Tax consequences matter as well, and for some users an option contract on a future is more tax efficient. The proof is in the fact that they exist. 7-43 Basic Option Pricing Relationships at Expiry At expiry, an American call option is worth the same as a European option with the same characteristics. If the call is in-the-money, it is worth ST E.（到期日 外汇即期价格减去外汇的执行价格） If the call is out-of-the-money, it is worthless. At expiry, CaT （美式）= CeT （欧式） = MaxST - E, 0 7-44 Basic Option Pricing Relationships at Expiry lAt expiry, an American put option is worth the same as a European option with the same characteristics. If the put is in-the-money, it is worth E - ST If the put is out-of-the-money, it is worthless. At expiry, PaT = PeT = MaxE - ST, 0 无论是call option 还是 put option 的空头即权利的卖出方，其最大 盈利就是向多头收的期权费，而权利的买方即期权的多头最大损 失就是期权费。在利润损失图中倾斜线所对应的未来即期价格区 间是in-the-money区间（即权利方会行使权利），而水平线对应的 是out-of-the-money区间（即权利方放弃期权的行使）。 7-45 Basic Option Profit Profiles E ST Profit loss c0 E + c0 Long & call， 盈利可能无限大 If the call is in-the- money, it is worth ST E. If the call is out-of- the-money, it is worthless and the buyer of the call loses his entire investment of c0（期权费）. In-the-moneyOut-of-the-money 7-46 Basic Option Profit Profiles E ST Profit loss c0 E + c0 short & call， 损失可能无限大 If the call is in-the- money, the writer loses ST E. If the call is out-of- the-money, the writer keeps the option premium. In-the-moneyOut-of-the-money 7-47 Basic Option Profit Profiles E ST Profit loss p0 E p0long & put E p0 If the put is in- the-money, it is worth E ST The maximum gain is E p0 （ST =0），If the put is out-of- the-money, it is worthless and the buyer of the put loses his entire investment of p0 Out-of-the-moneyIn-the-money 在画利润损失图或价值图时，先画出权利的多头 线，再关于零横轴画对称线即权利的空头线。因 为是否行使权利由权利多头决定，主动权在多头 手中，权利空头处于被动接受地位。同时该过程 又是零和博弈。 7-48 Basic Option Profit Profiles E ST Profit loss p0 E p0short & put (E - p0) If the put is in- the-money, it is worth E ST. The short maximum loss is (E - p0) （ST =0）， If the put is out- of-the-money, it is worthless and the seller of the put keeps the option premium of p0 Out-of-the-moneyIn-the-money 7-49 Example $1.50/ ST （$/） Profit $7,812.50 Long & call on 31,250 lConsider a call option on 31,250. lThe option premium is $0.25 per pound lThe exercise price is $1.50 per pound. Loss $1.75/ 7-50 Example 1.50 ST（$/） Profit Loss $42,187.50 1.35Long & put on 31,250 lConsider a put option on 31,250. lThe exercise price is $1.50 per pound. lThe option premium is $0.15 per pound What is the maximum gain on this put option? At what exchange rate do you break even? $4,687.50 $42,187.50 = 31,250($1.50 $0.15)/ $4,687.50 = 31,250($0.15)/ 0 = 1.50- X -0.15 7-51 American Option Pricing Relationships lWith an American option, you can