衍生工具第2章宋凌峰

1、1Available on a wide range of assetsExchange tradedSpecifications need to be defined: What can be delivered, Where it can be delivered, & When it can be deliveredSettled daily2 3TimeTime(a)(b)FuturesPriceFuturesPriceSpot PriceSpot PriceA margin is cash or marketable securities deposited by an in

2、vestor with his or her brokerThe balance in the margin account is adjusted to reflect daily settlementMargins minimize the possibility of a loss through a default on a contract4An investor takes a long position in 2 December gold futures contracts on June 5 contract size is 100 oz. futures price is

3、US$1250 initial margin requirement is US$6,000/contract (US$12,000 in total) maintenance margin is US$4,500/contract (US$9,000 in total)56DayTrade Price ($)Settle Price ($)Daily Gain ($)Cumul. Gain ($)Margin Balance ($)Margin Call ($)11,250.0012,00011,241.001,800 1,80010,20021,238.30 540 2,340 9,660

4、.61,236.20 780 2,760 9,24071,229.901,260 4,020 7,9804,02081,230.80 180 3,84012,180.161,226.90 780 4,62015,1807Long TraderBrokerClearing HouseMember Clearing HouseClearing HouseMember BrokerShort Trader8Long TraderBrokerClearing HouseMember Clearing HouseClearing HouseMember BrokerShort TraderOpen in

5、terest: the total number of contracts outstanding equal to number of long positions or number of short positionsSettlement price: the price just before the final bell each day used for the daily settlement processVolume of trading: the number of trades in one day9They are settled dailyClosing out a

6、futures position involves entering into an offsetting tradeMost contracts are closed out before maturity1011OpenHighLowSettleChangeVolumeOpen IntJul 201070.0671.7069.2171.512.766,315388,902Aug 201071.2572.7770.4272.542.443,746115,305Dec 201074.0075.3473.1775.232.195,055196,033Dec 201177.0178.5976.51

7、78.532.004,175100,674Dec 201278.5080.2178.5080.181.861,258 70,126It is becoming increasingly common for transactions to be collateralized in OTC marketsConsider transactions between companies A and BThese might be be governed by an ISDA Master agreement with a credit support annex (CSA)The CSA might

8、 require A to post collateral with B equal to the value to B of its outstanding transactions with B when this value is positive.12If A defaults, B is entitled to take possession of the collateralThe transactions are not settled daily and interest is paid on cash collateralSee Business Snapshot 2.2 f

9、or how collateralization affected Long Term Capital Management when there was a “flight to quality” in 2008. 13Traditionally transactions have been cleared bilaterally in OTC marketsFollowing the 2007-2009 crisis, the has been a requirement for most standardized OTC derivatives transactions to be cl

10、eared centrally though clearing houses.1415If a futures contract is not closed out before maturity, it is usually settled by delivering the assets underlying the contract. When there are alternatives about what is delivered, where it is delivered, and when it is delivered, the party with the short p

11、osition chooses. A few contracts (for example, those on stock indices and Eurodollars) are settled in cash 16When a new trade is completed what are the possible effects on the open interest?Can the volume of trading in a day be greater than the open interest?17Limit Stop-lossStop-limitMarket-if touc

12、hedDiscretionaryTime of dayOpenFill or kill18In the US, the regulation of futures markets is primarily the responsibility of the Commodity Futures and Trading Commission (CFTC)Regulators try to protect the public interest and prevent questionable trading practices19Ideally hedging profits (losses) s

13、hould be recognized at the same time as the losses (profits) on the item being hedgedIdeally profits and losses from speculation should be recognized on a mark-to-market basisRoughly speaking, this is what the accounting and tax treatment of futures in the U.S. and many other countries attempt to ac

14、hieve2021Contract usually closed outPrivate contract between 2 partiesExchange tradedNon-standard contractStandard contractUsually 1 specified delivery dateRange of delivery datesSettled at end of contractSettled dailyDelivery or final cashsettlement usually occursprior to maturityFORWARDSFUTURESSom

15、e credit riskVirtually no credit riskFutures exchange rates are quoted as the number of USD per unit of the foreign currencyForward exchange rates are quoted in the same way as spot exchange rates. This means that GBP, EUR, AUD, and NZD are quoted as USD per unit of foreign currency. Other currencie

16、s (e.g., CAD and JPY) are quoted as units of the foreign currency per USD.2223交易品种交易品种平板玻璃平板玻璃交易单位交易单位 2020吨吨/ /手手报价单位报价单位 元（人民币）元（人民币）/ /吨吨 最小变动价位最小变动价位 1 1元元/ /吨吨每日价格波动限制每日价格波动限制 上一交易日结算价上一交易日结算价4 4及及郑州商品交易所期货交易风险控制郑州商品交易所期货交易风险控制管理办法管理办法相关规定相关规定 最低交易保证金比例最低交易保证金比例合约价值的合约价值的6 6合约交割月份合约交割月份 1-121-1

17、2月月交易时间交易时间 每周一至周五（北京时间每周一至周五（北京时间 法定节假日除外）法定节假日除外）上午上午 9 9：00-1100-11：30 30 下午下午 1313：30-1530-15：0000最后交易日最后交易日 合约交割月份的第合约交割月份的第1010个交易日个交易日最后交割日最后交割日合约交割月份的第合约交割月份的第1212个交易日个交易日交割品级交割品级 见见郑州商品交易所期货交割细则郑州商品交易所期货交割细则交割地点交割地点 交易所指定交割地点交易所指定交割地点交割方式交割方式 实物交割实物交割 交易代码交易代码 FGFG上市交易所上市交易所 郑州商品交易所郑州商品交易所 241、符合中华人民共和国国家标准 平板玻璃（GB 11614-2009）的5mm无色透明平板玻璃（不大于2m2.44m）一等品。几个关键点：5mm、无色透明、一等品、尺寸替代交割品：4mm，无升帖水其他型号厚度的玻璃：可根据玻璃厂商公告信息选择相应的规格、品级、厚度等，涉及价差的，由双方自行协商、结算。 2、基准地：华东汽车板交货价3、