投资学,9e,精要版,48772,48760,英文PPT Chap015.ppt 28页

CHAPTER15FuturesMarkets 22-2Forward–adeferred-deliverysaleofanassetwiththesalespriceagreedonnow.Futures-similartoforwardbutfeatureformalizedandstandardizedcontracts.KeydifferenceinfuturesStandardizedcontractscreateliquidityMarkedtomarketExchangemitigatescreditriskFuturesandForwards 22-3Afuturescontractistheobligationtomakeortakedeliveryoftheunderlyingassetatapredeterminedprice.Futuresprice–thepricefortheunderlyingassetisdeterminedtoday,butsettlementisonafuturedate.Thefuturescontractspecifiesthequantityandqualityoftheunderlyingassetandhowitwillbedelivered.BasicsofFuturesContracts 22-4BasicsofFuturesContractsLong–acommitmenttopurchasethecommodityonthedeliverydate.Short–acommitmenttosellthecommodityonthedeliverydate.Futuresaretradedonmargin.Atthetimethecontractisenteredinto,nomoneychangeshands. 22-5BasicsofFuturesContractsProfittolong=Spotpriceatmaturity-OriginalfuturespriceProfittoshort=Originalfuturesprice-SpotpriceatmaturityThefuturescontractisazero-sumgame,whichmeansgainsandlossesnetouttozero. 22-6Figure15.2ProfitstoBuyersandSellersofFuturesandOptionContracts 22-7Figure15.2ConclusionsProfitiszerowhentheultimatespotprice,PTequalstheinitialfuturesprice,F0.Unlikeacalloption,thepayofftothelongpositioncanbenegativebecausethefuturestradercannotwalkawayfromthecontractifitisnotprofitable. 22-8ExistingContractsFuturescontractsaretradedonawidevarietyofassetsinfourmaincategories:AgriculturalcommoditiesMetalsandmineralsForeigncurrenciesFinancialfutures 22-9TradingMechanicsElectronictradinghasmostlydisplacedfloortrading.CBOTandCMEmergedin2007toformCMEGroup.Theexchangeactsasaclearinghouseandcounterpartytobothsidesofthetrade.Thenetpositionoftheclearinghouseiszero. 22-10Openinterestisthenumberofcontractsoutstanding.Ifyouarecurrentlylong,yousimplyinstructyourbrokertoentertheshortsideofacontracttocloseoutyourposition.Mostfuturescontractsareclosedoutbyreversingtrades.Only1-3%ofcontractsresultinactualdeliveryoftheunderlyingcommodity.TradingMechanics 22-11Figure15.3TradingwithoutaClearinghouse;TradingwithaClearinghouse 22-12MarkingtoMarket-eachdaytheprofitsorlossesfromthenewfuturespricearepaidoverorsubtractedfromtheaccountConvergenceofPrice-asmaturityapproachesthespotandfuturespriceconvergeMarginandMarkingtoMarket 22-13InitialMargin-fundsorinterest-earningsecuritiesdepositedtoprovidecapitaltoabsorblossesMaintenancemargin-anestablishedvaluebelowwhichatrader’smarginmaynotfallMargincall-whenthemaintenancemarginisreached,brokerwillaskforadditionalmarginfundsMarginandTradingArrangements 22-14TradingStrategiesSpeculatorsseektoprofitfrompricemovementshort-believepricewillfalllong-believepricewillriseHedgersseekprotectionfrompricemovementlonghedge-protectingagainstariseinpurchasepriceshorthedge-protectingagainstafallinsellingprice 22-15Basis-thedifferencebetweenthefuturespriceandthespotprice,FT–PTTheconvergencepropertysaysFT–PT=0atmaturity.BasisandBasisRisk 22-16Beforematurity,FTmaydiffersubstantiallyfromthecurrentspotprice.BasisRisk-variabilityinthebasismeansthatgainsandlossesonthecontractandtheassetmaynotperfectlyoffsetifliquidatedbeforematurity.BasisandBasisRisk 22-17Spot-futuresparitytheorem-twowaystoacquireanassetforsomedateinthefuture:PurchaseitnowandstoreitTakealongpositioninfuturesThesetwostrategiesmusthavethesamemarketdeterminedcostsFuturesPricing 22-18Spot-FuturesParityTheoremWithaperfecthedge,thefuturespayoffiscertain--thereisnorisk.Aperfecthedgeshouldearntherisklessrateofreturn.Thisrelationshipcanbeusedtodevelopthefuturespricingrelationship. 22-19HedgeExample:Section22.4Investorholds$1000inamutualfundindexedtotheS&P500.Assumedividendsof$20willbepaidontheindexfundattheendoftheyear.Afuturescontractwithdeliveryinoneyearisavailablefor$1,010.Theinvestorhedgesbysellingorshortingonecontract. 22-20HedgeExampleOutcomesValueofST9901,0101,030PayoffonShort(1,010-ST)200-20DividendIncome202020Total1,0301,0301,030 22-21RateofReturnfortheHedge 22-22TheSpot-FuturesParityTheoremRearrangingterms 22-23ArbitragePossibilitiesIfspot-futuresparityisnotobserved,thenarbitrageispossible.Ifthefuturespriceistoohigh,shortthefuturesandacquirethestockbyborrowingthemoneyattheriskfreerate.Ifthefuturespriceistoolow,golongfutures,shortthestockandinvesttheproceedsattheriskfreerate. 22-24SpreadPricing:ParityforSpreads 22-25SpreadsIftherisk-freerateisgreaterthanthedividendyield(rf>d),thenthefuturespricewillbehigheronlongermaturitycontracts.Ifrf