第三章-JOHN-HULL-期权与期货市场基本原理第七版ppt

1、Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Hedging Strategies Using FuturesChapter 31Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Long & Short HedgeslA long futures hedge is appropriate when you know you will purch

2、ase an asset in the future and want to lock in the pricelA short futures hedge is appropriate when you know you will sell an asset in the future & want to lock in the price2Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Arguments in Favor of HedgingCompanies

3、 should focus on the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables3Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Arguments against HedginglShareholders are usually well diversi

4、fied and can make their own hedging decisionslIt may increase risk to hedge when competitors do notlExplaining a situation where there is a loss on the hedge and a gain on the underlying can be difficult4Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Convergence

5、 of Futures to Spot(Hedge initiated at time t1 and closed out at time t2) TimeSpot PriceFuturesPricet1t25Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Basis RisklBasis is the difference between spot & futureslBasis risk arises because of the uncertainty abo

6、ut the basis when the hedge is closed out6Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Long Hedge lSuppose thatF1 : Initial Futures PriceF2 : Final Futures PriceS2 : Final Asset PricelYou hedge the future purchase of an asset by entering into a long futures co

7、ntractlCost of Asset=S2 (F2 F1) = F1 + Basis 7Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Short HedgelSuppose thatF1 : Initial Futures PriceF2 : Final Futures PriceS2 : Final Asset PricelYou hedge the future sale of an asset by entering into a short futures c

8、ontractlPrice Realized=S2+ (F1 F2) = F1 + Basis8Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Choice of ContractlChoose a delivery month that is as close as possible to, but later than, the end of the life of the hedgelWhen there is no futures contract on the a

9、sset being hedged, choose the contract whose futures price is most highly correlated with the asset price. There are then 2 components to basis9Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Optimal Hedge RatioProportion of the exposure that should optimally be

10、hedged iswhere sS is the standard deviation of DS, the change in the spot price during the hedging period, sF is the standard deviation of DF, the change in the futures price during the hedging periodr is the coefficient of correlation between DS and DF.FShssr10Tailing the HedgelTwo way of determini

11、ng the number of contracts to use for hedging arelCompare the exposure to be hedged with the value of the assets underlying one futures contractlCompare the exposure to be hedged with the value of one futures contract (=futures price time size of futures contractlThe second approach incorporates an

12、adjustment for the daily settlement of futuresFundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 201011Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Hedging Using Index Futures(Page 63)To hedge the risk in a portfolio the number of

13、 contracts that should be shorted iswhere VA is the current value of the portfolio, b is its beta, and VF is the current value of one futures (=futures price times contract size)FAVVb12Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Reasons for Hedging an Equity

14、PortfoliolDesire to be out of the market for a short period of time. (Hedging may be cheaper than selling the portfolio and buying it back.)lDesire to hedge systematic risk13Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010ExampleFutures price of S&P 500 is 1,

15、000Size of portfolio is $5 millionBeta of portfolio is 1.5One contract is on $250 times the indexWhat position in futures contracts on the S&P 500 is necessary to hedge the portfolio?14Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 2010Changing BetalWhat positio

16、n is necessary to reduce the beta of the portfolio to 0.75?lWhat position is necessary to increase the beta of the portfolio to 2.0?15Stock PickinglIf you think you can pick stocks that will outperform the market, futures contract can be used to hedge the market risklIf you are right, you will make money whether the market goes up or downFundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright John C. Hull 201016Fundamental