期权、期货及其他衍生产品第9版-赫尔】Ch(22)

Chapter2MechanicsofFuturesMarkets.1FuturesContractsAvailableonawiderangeofassetsExchangetradedSpecificationsneedtobedefined:Whatcanbedelivered,Whereitcanbedelivered,&WhenitcanbedeliveredSettleddaily.2ConvergenceofFuturestoSpot(Figure2.1,page29).3TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPriceMarginsAmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract.4MarginCashFlowsAtraderhastobringthebalanceinthemarginaccountuptotheinitialmarginwhenitfallsbelowthemaintenancemarginlevelAmemberoftheexchangeclearinghouseonlyhasaninitialmarginandisrequiredtobringthebalanceinitsaccountuptothatleveleveryday.ThesedailymargincashflowsarereferredtoasvariationmarginAmemberisalsorequiredtocontributetoadefaultfund.5ExampleofaFuturesTrade(page27-29)Aninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5contractsizeis100oz.futurespriceisUS$1,450initialmarginrequirementisUS$6,000/contract(US$12,000intotal)maintenancemarginisUS$4,500/contract(US$9,000intotal).6APossibleOutcome(Table2.1,page30).7DayTradePrice($)SettlePrice($)DailyGain($)Cumul.Gain($)MarginBalance($)MarginCall($)11,450.0012,00011,441.00−1,800−1,80010,20021,438.30−540−2,3409,660…..…..…..…..……61,436.20−780−2,7609,24071,429.90−1,260−4,0207,9804,02081,430.80180−3,84012,180…..…..…..…..……161,426.90780−4,62015,180MarginCashFlowsWhenFuturesPriceIncreases.8LongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrokerShortTraderMarginCashFlowsWhenFuturesPriceDecreases.9LongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrokerShortTraderSomeTerminologyOpeninterest:thetotalnumberofcontractsoutstandingequaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelleachdayusedforthedailysettlementprocessVolumeoftrading:thenumberoftradesinoneday.10KeyPointsAboutFuturesTheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity.11CrudeOilTradingonMay14,2013(Table2.2,page36).12OpenHighLowPriorSettleLastTradeChangeVolumeJun201394.9395.6694.5095.1794.72−0.45162,901Aug201395.2495.9294.8195.4395.01−0.4237,830Dec201393.7794.3793.3993.8993.60−0.2927,179Dec201489.9890.0989.4089.7189.62−0.099,606Dec201586.9987.3386.9486.9986.94−0.052,181CollateralizationinOTCMarketsItisbecomingincreasinglycommonfortransactionstobecollateralizedinOTCmarketsConsidertransactionsbetweencompaniesAandBThesemightbegovernedbyanISDAMasteragreementwithacreditsupportannex(CSA)TheCSAmightrequireAtopostcollateralwithBequaltothevaluetoBofitsoutstandingtransactionswithBwhenthisvalueispositive..13CollateralizationinOTCMarketscontinuedIfAdefaults,BisentitledtotakepossessionofthecollateralThetransactionsarenotsettleddailyandinterestispaidoncashcollateralSeeBusinessSnapshot2.2forhowcollateralizationaffectedLongTermCapitalManagementwhentherewasa“flighttoquality”in1998..14ClearingHousesandOTCMarketsTraditionallymosttransactionshavebeenclearedbilaterallyinOTCmarketsFollowingthe2007-2009crisis,thehasbeenarequirementformoststandardizedOTCderivativestransactionsbetweendealerstobeclearedthroughcentralcounterparties(CCPs)CCPsrequireinitialmargin,variationmargin,anddefaultfundcontributionsfrommemberssimilarlytoexchangeclearinghouses.15BilateralClearingvsCentralClearingHouse.16NewRegulationsNewregulationsfortradesbetweendealersthatarenotclearedcentrallyrequiredealerstopostbothinitialmarginanddailyvariationmarginTheinitialmarginispostedwithathirdparty.17DeliveryIfafuturescontractisnotclosedoutbeforematurity,itisusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincash.18QuestionsWhenanewtradeiscompletedwhatarethepossibleeffectsontheopeninterest?Canthevolumeoftradinginadaybegreaterthantheopeninterest?.19TypesofOrdersLimitStop-lossStop-limitMarket-iftouchedDiscretionaryTimeofdayOpenFillorkill.20RegulationofFuturesIntheUS,theregulationoffuturesmarketsisprimarilytheresponsibilityoftheCommodityFuturesandTradingCommission(CFTC)Regulatorstrytoprotectthepublicinterestandpreventquestionabletradingpractices.21Accounting&TaxIdeallyhedgingprofits(losses)shouldberecognizedatthesametimeasthelosses(profits)ontheitembeinghedgedIdeallyprofitsandlossesfromspeculationshouldberecognizedonamark-to-marketbasisRoughlyspeaking,thisiswhattheaccountingandtaxtreatmentoffuturesintheU.S.andmanyothercountriesattempttoachieve.22ForwardContractsvsFuturesContracts(Table2.3,page43).23ContractusuallyclosedoutPrivatecontractbetween2partiesExchangetradedNon-standardcontractStandardcontractUsually1specifieddeliverydateRangeofdeliverydatesSettledatendofcontractSettleddailyDeliveryorfinalcashsettlementusuallyoccurspriortomaturityFORWARDSFUTURESSomecreditriskVirtuallynocreditriskForeignExchangeQuotesFuturesexchangeratesarequotedasthenumberofUSDperunitoftheforeigncurrencyForwardexchangeratesarequotedinthesamewayasspotexchangerates.ThismeansthatGBP,EUR,AUD,andNZDarequotedasUSDperunitofforeigncurrency.Othercurrencies(e.g.,CADandJPY)arequotedasunitsoftheforeigncurrencyperUSD..24