期权期货讲义.ppt
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期权期货讲义.ppt
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SchoolofManagementSchoolofManagementSchoolofManagementDerivativesDerivativesDerivatives电子科技大学管理学院电子科技大学管理学院电子科技大学管理学院夏晖夏晖夏晖Chapter2FuturesMarketsandtheUseofFuturesforHedgingObjective:
DetailsofhowfuturesandDetailsofhowfuturesandforwardmarketsworkforwardmarketsworkTheUseofFuturesforTheUseofFuturesforHedging.Hedging.2DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsFuturesContractsTerminologyInvestorInvestorinNewYorkinNewYorkInvestorInvestorinKansasinKansasBrokerBrokerBrokerBrokerTraderTraderinCBOTinCBOTInstructionInstructiontobuytobuy5,000bushelsofcorn5,000bushelsofcornforJulyforJulydeliverydeliveryInstructionInstructiontoselltosell5,000bushelsofcorn5,000bushelsofcornforJulyforJulydeliverydeliveryLongfuturespositionLongfuturespositionShortfuturespositionShortfuturespositionFuturespriceFuturespriceTrader:
Trader:
Commissionbroker.Commissionbroker.LocalsLocals3DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsClosingOutFuturesPositionsvClosingoutapositionmeansenteringintotheoppositeClosingoutapositionmeansenteringintotheoppositetypeoftradefromtheoriginalone.typeoftradefromtheoriginalone.vThevastmajorityofthefuturescontractsthatareThevastmajorityofthefuturescontractsthatareinitiateddonotleadtodelivery.initiateddonotleadtodelivery.ForspeculatorsForspeculatorsForHedgersForHedgersvThepossibilityoffinaldeliverytiesthefuturepricetoThepossibilityoffinaldeliverytiesthefuturepricetothespotprice.Anunderstandingofdeliveryproceduresthespotprice.Anunderstandingofdeliveryproceduresisessentialtoafullunderstandingoftherelationshipisessentialtoafullunderstandingoftherelationshipbetweenspotandfuturesprices.betweenspotandfuturesprices.4DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsvTheSpecificationoftheFuturesContractTheSpecificationoftheFuturesContractTheAssetTheAssetTheContractSizeTheContractSizeDeliveryArrangementsDeliveryArrangementsDeliveryMonthsDeliveryMonthsPriceQuotesPriceQuotesTheSpecificationoftheFuturesContract5DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsvTheSpecificationoftheFuturesContractTheSpecificationoftheFuturesContractDailypriceMovementLimitsDailypriceMovementLimitsLimitdownLimitdown(跌停板)跌停板)跌停板)跌停板)LimitupLimitup(涨停板)涨停板)涨停板)涨停板)AlimitmoveAlimitmove(涨停板变动)涨停板变动)涨停板变动)涨停板变动)ThepurposeofdailypricelimitsistopreventlargepriceThepurposeofdailypricelimitsistopreventlargepricemovementsfromoccurringbecauseofspeculativeexcesses.movementsfromoccurringbecauseofspeculativeexcesses.PositionLimitsPositionLimitsThepurposeofthelimitsistopreventspeculatorsfromThepurposeofthelimitsistopreventspeculatorsfromexercisingundue(exercisingundue(不适当的不适当的不适当的不适当的)influenceonthemarket.)influenceonthemarket.TheSpecificationoftheFuturesContract6DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMarginvAmarginiscashormarketablesecuritiesdepositedbyAmarginiscashormarketablesecuritiesdepositedbyaninvestorwithhisorherbrokeraninvestorwithhisorherbrokervThebalanceinthemarginaccountisadjustedtoreflectThebalanceinthemarginaccountisadjustedtoreflectdailysettlement(dailysettlement(日结算日结算日结算日结算)vMarginsminimizethepossibilityofalossthroughaMarginsminimizethepossibilityofalossthroughadefaultonacontractdefaultonacontract7DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMarginvTerminologyTerminologyMarginaccountMarginaccount(保证金帐户)保证金帐户)保证金帐户)保证金帐户)InitialmarginInitialmargin(初始保证金)初始保证金)初始保证金)初始保证金)MarkingtomarketMarkingtomarket(盯市)盯市)盯市)盯市)MaintenancemarginMaintenancemargin(维持保证金)维持保证金)维持保证金)维持保证金)MargincallMargincall(保证金催付)保证金催付)保证金催付)保证金催付)VariationmarginVariationmargin(变动保证金)变动保证金)变动保证金)变动保证金)8DerivativesDerivativesDerivativesMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsMechanicsofFuturesandForwardMarketsTheOperationofMarginsvAninvestortakesalongpositioninAninvestortakesalongpositionin2December2DecembergoldfuturescontractsonJune5goldfuturescontractsonJune5contractsizeis100ounces.contractsizeis100ounces.futurespriceis$400
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- 关 键 词:
- 期权 期货 讲义
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