衍生工具与风险管理 Don M. Chance 07

Chapter7:TheStructureofForwardandFuturesMarketsItislikewatchingyourfavoritesoapopera.Youknowallthecharacters.Youknowtheplot.Butyouneverreallyknowhowthedayisgoingtoend.TurkOzdekFutures,July2001,p.86D.M.ChanceCh.8:1AnIntroductiontoDerivativesandRiskManagement,6thed.ImportantConceptsinChapter8DefinitionsandexamplesofforwardandfuturescontractsInstitutionalcharacteristicsofforwardandfuturesmarketsFuturescontractsavailablefortradingPlacinganorder,margins,dailysettlementTheroleoftheclearinghouseAccessingfuturespricequotationsMagnitudeandeffectsoftransactioncostsD.M.Chance2AnIntroductiontoDerivativesandRiskManagement,6thed.TheDevelopmentofForwardandFuturesMarketsChicagoFuturesMarketsTheDevelopmentofFinancialFuturesTheDevelopmentofOptionsonFuturesMarketsTheParallelDevelopmentofOver-the-CounterMarketsinterbankmarketgrowthofforwardmarketsD.M.Chance3AnIntroductiontoDerivativesandRiskManagement,6thed.TheOver-the-CounterForwardMarketcustomizedprivate essentiallyunregulatedcreditriskmarketsize:$18trillionfacevalue,$400billionmarketvalueatyear-end2001D.M.Chance4AnIntroductiontoDerivativesandRiskManagement,6thed.OrganizedFuturesTradingContractDevelopmentContractTermsandConditionscontractsizequotationunitminimumpricefluctuationcontractgradetradinghoursDeliveryTermsdeliverydateandtimedeliveryorcashsettlementD.M.Chance5AnIntroductiontoDerivativesandRiskManagement,6thed.OrganizedFuturesTrading(continued)DailyPriceLimitsandTradingHaltslimitmovescircuitbreakersOtherExchangeResponsibilitiesminimumfinancialresponsibilityrequirementspositionlimitsrulesgoverningthetradingfloorD.M.Chance6AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesExchangesSeeTable8.1,p.279forlistofexchanges.Globalandafter-hourstradingEstimatedworld-widevolumein2001was1.8billioncontracts.D.M.Chance7AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesTradersGeneralClassesofFuturesTradersfuturescommissionmerchantslocalsdualtradingClassificationbyTradingStrategyhedger/speculatorspreaderarbitrageurD.M.Chance8AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesTraders(continued)ClassificationbyTradingStylescalpersdaytraderspositiontradersOff-FloorFuturesTradersindividualsinstitutionsOthers:IntroducingBroker(IB),CommodityTradingAdvisor(CTA),CommodityPoolOperator(CPO),AssociatedPerson(AP)D.M.Chance9AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesTraders(continued)TheCostandProfitabilityofExchangeMembershipseatsSeeFigure8.1,p.283forhistoryofCBOT,CME,andNYMEXseatprices.leasingaseatataround1.0-1.5%/mo.ofseatpriceprofitabilityofmembershipForwardMarketTradersover-the-counterprimarilyinstitutionsD.M.Chance10AnIntroductiontoDerivativesandRiskManagement,6thed.TheMechanicsofFuturesTrading PlacinganOrderpitopenoutcryelectronicsystemsTheRoleoftheClearinghouseSeeFigure8.2,p.285.margindepositsD.M.Chance11AnIntroductiontoDerivativesandRiskManagement,6thed.TheMechanicsofFuturesTrading(continued) DailySettlementinitialmarginmaintenancemarginconceptof“margin”vs.performancebondsettlementpricevariationmarginSeeTable8.2,p.287forexample.openinterestD.M.Chance12AnIntroductiontoDerivativesandRiskManagement,6thed.TheMechanicsofFuturesTrading(continued)DeliveryandCashSettlementthree-daydeliveryprocessalternativedeliverablegradesoffsettingexchangeforphysicalsforwardmarketproceduresD.M.Chance13AnIntroductiontoDerivativesandRiskManagement,6thed.FuturesPriceQuotationsNewspapersandwebsitesD.M.Chance14AnIntroductiontoDerivativesandRiskManagement,6thed.TypesofFuturesContractsAgriculturalCommoditiesNaturalResourcesMiscellaneousCommoditiesForeignCurrenciesTreasuryBillsandEurodollarsTreasuryNotesandBondsEquitiesManagedFundsHedgeFundsOptionsonFuturesD.M.Chance15AnIntroductiontoDerivativesandRiskManagement,6thed.TransactionCostsinForwardandFuturesTradingCommissionsBid-AskSpreadDeliveryCostsD.M.Chance16AnIntroductiontoDerivativesandRiskManagement,6thed.TheRegulationofFuturesMarkets Regulationisnearlyalwaysatthefederallevel;e.g.,CommodityFuturesTradingCommission(U.S.)FinancialServicesAuthority(U.K.)FinancialServicesAgency(Japan)ObjectiveofmostfederalregulationensuringpublicinformationavailableauthorizationandlicensingofcontractsandexchangescontractapprovalmarketsurveillanceD.M.Chance17AnIntroductiontoDerivativesandRiskManagement,6thed.TheRegulationofFuturesMarkets(continued)Arbitrationofdisputesissometimesdonethroughthefederalgovernmentandthecourtsbutoftenthroughself-regulatoryorganizationssuchastheNationalFuturesAssociationintheU.S.Note:Forwardmarketsareregulatedonlyindirectlyand,thus,arelargelyunregulated.D.M.Chance18AnIntroductiontoDerivativesandRiskManagement,6thed.SummaryD.M.Chance19AnIntroductiontoDerivativesandRiskManagement,6thed.Appendix8:TaxationofFuturesContractsTreatedas60%capitalgainsand40%ordinaryincome.Capitalgainssubjectto28%maxim