衍生品与风险管理英语教学课件PPT the structure of forward and futures markets.ppt

chapter2 thestructureofforwardandfuturesmarkets ref don m chance chapter7learningobjectives todefineforwardandfuturescontractstodescribetheinstitutionalcharacteristicsofforwardandfuturesmarkets especiallythedailysettlementprocedureinfuturesmarketsandthedeliveryprocesstoprovideinformationonthefuturescontractsavailablefortradingtodescribetheprocessofplacinganordertotradeafuturescontracttoillustratetheroleoftheclearinghouseinfuturestradingtoshowhowtoaccessfuturespricestopresentinformationonthemagnitudeandeffectsoftransactioncostsinfuturestradingtodiscusstheregulatorystructureoffuturesandforwardmarkets 1 definition aforwawrdcontractisanagreementbetweentwoparties buyerandaseller thatcallsforthedeliveryofanassetatafuturepointintimewithapriceagreedupontoday afuturescontractisaforwardcontractthathasstandardizedterms istradedonanorganizedexchange andfollowsadailysettlementprocedureinwhichthelossesofonepartytothecontractarepaidtotheotherparty bothhaveanobligationnottheright likeanexchange listedoption however afuturescontractcanbesoldinthemarketpriortoexpiration likeanover the counteroption aforwardcontractcanbeoffsetbycreatinganewforwardcontract 2 thedevelopmentofforwardandfuturesmarkets thedevelopmentoforganizedmarketschicagoboardoftrade cbot 芝加哥交易所 1848chicagomercantileexchange cme 芝加哥商品交易所 1898itspredecessor chicagoproduceexchange 1874 chicagobutterandeggboarditwasthe2ndlargestfuturesexchangeintheus in2006 cbotandcmeweremerged andbecamethebiggestfuturesexchangeintheworld the1990ssawanexplosioninthedevelopmentoffutuesexchangesaroundtheworld thedevelopmentoffinancialfutures 1972 futurescontractsonforeigncurrenciesinternationalmonetarymarket imm 1975 the1stinterestratefuturescontract1976 1stfuturescontracton90 dayu s treasurybills1977 u streasurybondfutures1990s eurodollarfuturescontract1980s stockindexfuturescontract typesoffinancialfutures futurescontractsonforeigncurrencies 外汇期货 the1stfuturescontractinterestratefuturescontract 利率期货 bondfutures 债券期货 libor hibor etc futurescontractonequity 股权类期货 stockindexfuturescontractsinglestockfuturescontractportfoliofuturescontract thedevelopmentofoptionsonfuturesmarkets anoptiononafuturespermitstheholdertherighttobuy ifacall orsell ifaput aspecificunderlyingfuturescontractatafixedpriceuptoaspecificexpirationday inthiscase theoptionisaderivativeonaderivative thus twoexpirationstheoption sexpirationandthefutures expirationforsomecontracts theoptionandfuturesexpiresimultaneously whichisequivalenttoanoptionontheunderlyingspotasset formostcases theoptionexpiresbeforebutrelativelyclosetotheexpirationofthefutures theoptionwouldtradeonthesameexchangeonwhichtheunderlyingfuturestraded theparalleltradingoftheoptionandtheunderlyingcreatedastrongdemandforarbitragetradingbetweenthesetwoinstrumentsandledtohighlyactiveandefficientmarkets 3 theotcforwardmarket theforwardmarketislargeandworldwide itsparticipantsarebanks corporations andgovernments thetwopartiestoaforwardcontractmustagreetodobusinesswitheachother whichmeansthateachpartyacceptscreditriskfromtheother unlikeoptions inspiteofthecreditrisk forwardcontractsoffermanyadvantages theprimaryadvantageisthatthetermsandconditionsaretailoredtothespecificneedsofthetwoparties theforwardmarketalsohastheadvantageofbeingaprivatemarketinwhichthegeneralpublicdoesnotknowthathetransactionwasdone thispreventsothertradersfrominterpretingthesizeofvarioustradesasperhapsfalsesignalsofinformation theotcmarketisalsoanunregulatedmarket 4 中国期货交易所的发展 旧中国期货市场 1892年 上海股份公所 中国最早的期货交易所新中国期货市场 1990年中国郑州粮油批发市场 1999年 确认三大全国性的期货交易所 上海期货交易所 主要金属 能源 化工大连商品交易所 主要豆类 玉米 棕榈油 聚乙烯郑州商品交易所 主要菜籽油 小麦 棉花 白砂糖 pta 绿豆2006年 中国金融期货交易所2010年4月份正式推出股指期货交易 其标的物为沪深300指数 5 organizedfuturestrading afuturesexchangeisacorporateentitycomprisedofmembers althoughsomeexchangesallowcorporatememberships mostmembersareindividuals thememberselectaboardofdirectors whichinturnselectsindividualstomanagetheexchange theexchangehasacorporatehierarchyconsistingofofficers employees andcommittees althoughfuturesexchangesareusuallynonprofitcorporations someexchangesareprofit makingcorporationswithpubliclytradedstock suchascme 5 1contractdevelopment oneoftheexchange simportantongoingactivitiesisidentifyingnewandusefulfuturescontracts mostexchangesmaintainresearchstaffsthatcontinuouslyexaminethefeasibilityofnewcontracts whentheexchangedeterminesthatacontractislikelytobesuccessful itwritesaproposalspecifyingthetermsandconditionsandappliestotheregulatoryauthority suchascftc forpermissiontoinitiatetrading howtodetermineanassetthatisalikelycandidateforasuccessfulfuturescontract theassethadtobestorable buttherearenowfuturescontractsonnonstorableassetssuchaselectricityandevensuchfactorsasthewheter whichisnotaspecificassetatall theexistenceofanidentifiable volatilespotpriceandagroupofpotentialuserswhofaceariskoflossifpricesmoveinacertaindirectionwhetherthecontractwillbeactivelytradedwilldependonwhetheritfillstheneedsofhedgersandwhetherspeculatorsareinterestedenoughtotakerisksinit seecase1 5 2contracttermsandconditions thecontract stermsandconditionsaredeterminedbytheexchangesubjecttoregulatoryapproval thespecificationsforeachcontractarethesize quotationunit minimumpricefluctuation grade andtradinghours contractsizemeansthatonecontractcoversaspecificnumberofunitsoftheunderlyingasset sizecannotbetoosmallortoolarge thequotationunitissimplytheunitinwhichthepriceisspecified miniumupricefluctuationisusuallythesmallestunitofquotation forexample treasurybondsarequotedinaminimumunitof1 32 thus theminimumpricechangeonatreasurybondfuturescontractis1 32of1 ofthecontractprice i e 0 0003125 1 1 32 sincethecontracthasafacevalue contractsize of 100 000 theminimumpricechangeis0 0003125 100 000 31 25 contractgrade inthecaseofagriculturalcommoditiestheremaybenumerousgrades eachofwhichwouldcommandaqualitypricedifferentialinthespotmarket tradinghoursmostagriculturalfuturestradeforfourtofivehoursduringtheday mostfinancialfuturestradeforaboutsixhours butnowmanyexchangeshaveeletronictradingsystems wherebytradingoccursatterminalsthatcanbeplacedinofficesandeveninhomes 5 3deliveryterms thecontractmustalsoindicateaspecificdeliverydateordates thedeliveryprodecure andasetofexpirationmonths expirationmonths inthecaseofharvestablecommodities theexchangeusuallyestablishesexpirationmonthstocorrespondwithharvestmonths innonharvestablecommodities suchasfinancialfutures theexchangeusuallyhasfollowedthepatternofallowingexpirationsinmarch june september anddecember finaltradingday thismaybeanydayinthemonth butthemostcommononesarethethirdfridayofthemonthandthebusinessdaypriortothelastbusinessdayofthemonth firstdeliveryday mostcontractsallowdeliveryonanydayofthemonthfollowingaparticularday usuallythefirsteligibledeliverydayisthefirstbusinessdayofthemonth inthecaseofstockindexfuturesandothercash settledcontracts thesettlementlccursonthelasttradingdayoronthedayafterthelasttradingday deliveryprocedure fornon cash settledcontracts thedeliveryproceduremustbespecified thedelivrablespotcommoditymustbesenttoanyofseveraleligiblelocations financialadjustmentstothepricereceivedupondeliveryarerequiredwhenanacceptablebutlower gradecommodityisdelivered 5 4dailypricelimitsandtradinghalts limitup 涨停板 thecontractpricehitstheupperlimitlimitdown 跌停板 thepricemovestothelowerlimitlimitmove 涨跌停 anysuchmove upordowncircuitbreaker 断路器 whenpricesmoverapidly tradingcanbestoppedforpredeterminedperiods 例 上海期货交易所黄金期货标准合约 5 5otherexchangeresponsibilities theexchangespecifiesthatmembersmeetminimumfinancialresponsibilityrequirements itmayestablishpositionlimits 头寸 whichrestrictthenumberofcontractsthatanindividualtradercanhold theexchangeestablishesrulesgoverningactivitiesonthetradingfloorandmaintainsadepartmentresponsibleformonitoringtradingtodeterminewhetheranyoneisattemptingtomanipulatethemarket 6 futurestraders6 1generalclassesoffuturestraders commissionbrokers 佣金经纪商 simplyexecutetransactionsforotherpeople commissionbrokerscanbeanindependentbusinesspersonwhoexecutestradesforindividualsorinstitutionsorarepresentativeofamajorbrokeragefirm commissionbrokersmaketheirmoneybychargingacommissionforeachtrade locals 自营交易商 areindividualsinbusinessforthemselveswhotradefromtheirownaccounts theyattempttoprofitbybuyingcontractsatagivenpriceandsellingthematahigherprice theirtradingprovidesliquidityforthepublic localsassumetheriskandreaptherewardsfromtheirskillatfuturestrading dualtrading 双向交易 sometradersengageindualtrading inwhichtheytradeforthemselvesandalsotradeasbrokersforothers 6 2classificationbytradingstrategy hedger 套期保值者 holdsapositioninthespotmarket andtakesafuturescontractthatisoppositetothepositioninthespotmarketreducestherisk speculators 投机者 attempttoprofitfromguessingthedirectionofthemarket theyplayanimportantroleinthemarketbyprovidingtheliquiditythatmakeshedgingpossibleandassumingtheriskthathedgersaretryingtoeliminate spreaders 差额交易者 usefuturesspreadstospeculateatalowlevelofrisk whichinvolvesalongpositioninonecontractandashortpositioninanother intercommodity intracommodityarbitrageurs 套利者 attempttoprofitfromdifferencesinthepricesofotherwiseidenticalspotandfuturespositions whenpricesgetoutoflinewiththesetheoreticalpredictions arbitrageursenterthemarketandexecutetradesthatbringpricesbackinline 6 3classificationbytradingstyle scalper 抢帽子者 attempttoprofitfromsmallchangesinthecontractprice theyseldomholdtheirpositionsformorethanafewminutes theytradebyusingtheirskillatsensingthemarket sshort termdirectionandbybuyingfromthepublicatthebidpriceandsellingtothepublicattheaskprice becausetheyoperatewithverylowtransactioncosts theycanprofitfromsmallmovesincontractprices daytraders 当日交易商 holdtheirpositionsfornolongerthanthedurationofthetradingday theyattempttoprofitfromshort termmarketmovements theyholdtheirpositionsmuchlongerthandoscalpers theyareunwillingtoassumetheriskofadversenewsthatmightoccurovernightoronweekends positiontraders 头寸交易商 holdtheirtransactionsopenformuchlongerperiodsthandoscalpersanddaytraders theybelievetheycanmakeprofitsbywaitingforamajormarketmovement itmaytakeasmuchasseveralweeks 6 4off floorfuturestraders inadditiontoindividualsandinstitutionswhodirectlyparticipateintrading therearecertainotherparticipants hereinstitutionsincludebanksandfinancialintermediaries investmentbankingfirms mutualfunds pensionfunds andothercorporations anintroducintbroker ib 引介经纪商 isanindividualwhosolicitsordersfrompubliccustomerstotradefuturescontracts ibsdonotexecuteordersthemselves nordotheirfirms rather theysubcontractwithfcmstodothis theibandfcmdividethecommission acommoditytradingadvisor cta 商品交易顾问 isanindividualorfirmthatanalyzesfuturesmarketsandissuesreports givesadvice andmakesrecommendationsonthepurchaseandsaleofcontracts ctasearnfeesfortheirservicesbutdonotnecessarilytradecontractsthemselves acommoditypooloperator cpo 商品交易合作基金运营商 isanindividualorfirmthatsolicitsfundsfromthepublic poolsthem andusesthemtotradefuturescontracts thecpoprofitsbycollectingapercentageoftheassetsinthefundandsometimesthroughsalescommissions anassociatedperson ap 期货交易员 isanindividualassociatedwithanyoftheaboveindividualsorinstitutionsoranyotherfirmengagedinthefuturesbusiness 6 5forwardmarkettraders theforwardmarketisdominatedbylargeinstitutions suchasbanksandcorporations atypicalforwardmarkettraderisanindividualsittingatadeskwithatelephoneandacomputerterminal forwardandfuturesmarketsarelinkedclosely forwardcontractscannotbereversedbyfuturescontracts however atraderwilldoaforwardcontractandthenimmediatelydoafuturescontracttohedgetheforwardmarketrisk 7 themechanicsoffuturestrading7 1steps openanaccountwithbroker makeaminimumdepositplacinganorderamarketorder 市场交易指令 instructsthefloorbrokertoobtainthebestprice alimitorder 限价交易指令 specifiesamaximumpricetopayifbuyingoraminimumpricetoaceptifselling agood till canceledorder 撤销前有效交易指令 remainsineffectuntilcanceled adayorder 当日交易指令 staysineffectfortheremainderoftheday astoporder 止损指令 isplacedatapricelowerthanthecurrentprice ifthemarketpricefallstothespecifiedprice thebrokerisinstructedtoselltheoptionatthebestavailableprice howtotradeopenoutcry 公开喊价方式 underapittradingsystem whenaninvestorplacesanorder thebrokerphonesthefirm stradingdeskontheexchangefloorandrelaystheordertothefirm sfloorbroker thefloorbrokergoestothepitinwhichthecontracttrades handsignalsandaconsiderableamountofverbalactivityareusedtoplacebidsandmakeoffers thentheorderisfilled theinformationisrelayedback ultimatelytothebroker soffice whereuponthebrokertelephonesthecustomertoconfirmthetrade electronictrading 电子交易方式 nowthefuturesexchangesarefullyautomatedsothatbidsandoffersaresubmittedthroughacomputerandtradesareexecutedoffthefloor somesystemswillevenmatchbuyerandseller 7 2theroleoftheclearinghouse 清算所 atthispointintheprocess theclearinghouseintervenes clearinghouseisanindependentcorporation anditsstockholdersareitsmemberclearingfirms eachfirmmaintainsamarginaccountwiththeclearinghouseandmustmeetminimumstandardsoffinancialresponsibility theclearinghouseassumestheroleofintermediarytoeachtransaction itguaranteesthebuyerthatthesellerwillperformandguaranteesthesellerthatthebuyerwillperform allpartiestofuturestransactionsmusthaveanaccountwithaclearingfirmorwithafirmthathasanaccountwithaclearingfirm atransactiononthefuturesexchange p208 theforwardmarketisanotcmarket thepartiestothecontractdealdirectlywitheachother thereiscurrentlynoclearinghousetoguaranteetoeachpartythattheotherwillperform 7 3dailysettlement 逐日结算制度 onewayinwhichtheclearinghousehelpsensureitssurvivalisbyusingmarginsandthedailysettlementofaccounts foreachcontract thereisbothaninitialmargin 初始保证金 theaccountthatmustbedepositedonthedaythetransactionisopened amaintenancemargin 维持保证金 theaccountthatmustbemaintainedeverydaythereafter themargindepositisnotquitelikethemarginonastocktrade instocktrading theinvestordepositsmarginmoneyandborrowstheremainderofthestockpricefromthebroker infuturestrading notonlyisthmarginrequirementmuchsmaller buttheremainderofthefundsarenotborrowed themargindepositismorelikeagood faithsecuritydeposit sosometimeswealsocallitperformancebonds 履约保证书 themargincanbetreasurybillsorcash howtosettle settlementprice 结算价格 attheendofeachday counttheaverageofthepricesofthelastfetradesoftheday markedtomarket 市值调整 thedifferenceinthecurrentsettlementpriceandthepreviousday ssettlementpriceisdetermined ifthedifferenceispositivebecausethesettlementpriceincreased thedollaramountiscreditedtothemarginaccountsofthoseholdinglongpositionsandchargedtothoseholdingshortpositions ifthedifferenceisnegativebecausethesettlementpricedecreased thedollaramountiscreditedtotheholdersofshortpositionsandchargedtothoseholdinglongpositions thisiscalledthedailysettlement dailysettlementisanimportantfeatureoffuturesmarketsandamajordifferencebetweenfuturesandforwardmarkets inforwardmarkets thegainsandlossesarenormallyincurredattheendofthecontract slife whendeliveryismade futuresmarketscreditandchargethepricechangedonadailybasis thishelpsensurethemarket sintegrity becauselargelossesarecoveredalittleatatimeratherthanallatexpiration bywhichtimetheholderofthelosingpositionmaybeunabletocovertheloss ifthebalancefallsbelowthemaintenancemarginrequirement youreceiveamargincall 保证金催付通知 andmustdepositenoughfundstobringthebalancebackuptotheinitialmarginrequirement variationmargin 可变保证金 theadditionalfundsdeposited theyareofficiallyduewithinafewdaysbutusuallyarerequiredtobedepositedimmediately iftheinvestordoesnothavethefunds thebrokerwillattempttocloseouttheposition inalimit alongpositioncanultimatelylosethefullpriceofthecontract thiswouldoccureifthepricewenttozero onashortposition thereisnoupperlimitontheprice therefore thelosstheoreticallyisinfinite 逐日结算例子 期货初始价格为100 初始保证金5 维持保证金40持有10份期货合同的多头的账户变化 如下 openinterest 未结权益或者叫未平仓合约 thetotalnumberoffuturescontractsoutstandingatanyonetime eachcontracthasbothalongandashortpositionandcountsasonecontractofopeninterest example davidboughtonefuturescontractfromtom thentheopeninterestis1 ifdavidsellsthecontracttolucy theopeninterestisstill1 butiftombuysthecontractbackfromlucy theopeninterestbecomes0 mostfuturestradersdonotholdtheirpositionstoexpiration rather theysimplyreenterthemarketandexecuteanoffsettingtransaction inotherwords ifoneheldalongpositioninacontract onemightelecttosimplysellthatcontractinthemarket theclearinghousewouldproperlynotethatthetrader spositionswereoffsetting 平仓 ifthepositionwerenotoffsetbeforetheexpirationmonth deliverywouldbecomelikely 7 4deliveryandcashsettlement eachcontracthasadeliverymonth theydeliveryprocedurevariesamongcontracts somecontractscanbedeliveredonanybusinessdayofthedeliverymonth otherspermitdeliveryonlyafterthecontracthastradedforthelastday andothersarecashsettled wherethereisnodeliveryatall deliveryusuallyisathree daysequencebeginning2businessdayspriortothefirstpossibledeliveryday positionday 头寸确定日 twobusinessdaysbeforetheintendeddeliveryday whentheholderofashortpositionwhointendstomakedeliverynotifiestheclearinghouseofitsdesiretodeliver noticeofintentionday 意向通知日 thenextbusinessday whentheexchangeselectstheholderoftheoldestlongpositiontoreceivedelivery deliveryday 交割日 thethirdday whendeliverytakesplaceandthelongpaystheshort mostnon cash settledcontractspermitdeliveryanybusinessdayofthedeliverymonth deliveryisconsummatedbywiretransfer mostcontractsallowformorethanonedeliverableinstrument thecontractusuallyspecifiesthatthepricepaidbythelongtotheshortbeadjustedtoreflectadifferenceinthequalityofthedeliverablegood forcash settledcontracts suchasstockindexfuturesthesettlementpriceonthelasttradingdayisfixedattheclosingspotpriceoftheunderlyinginstrument suchasthestockindex oneexceptionisthechicagomercantileexchange ss p500futurescontract whichclosestradingonthethursdaybeforethethirdfridayoftheexpirationmonthbutbasesthefinalsettlementpriceontheopeningstockpriceonfridaymorning aboutthefinancialfuturescontracts about99 ofallfuturescontractsarenotdelivered mosttraderscloseouttheirpositionspriortoexpiration aprocesscalledoffsetting 平仓 why 8 futurespricequotations 9 typesoffuturescontracts9 1agriculturalcommodities theoldestgroupoffuturescontracts itincludesgrains suchaswheat