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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
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