ch02期權(quán)期貨與衍生證券（第五版）

1、Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.1,Mechanics of Futures Markets,Chapter 2,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.2,,,Future

2、s Contracts,Available on a wide range of underlying assetsExchange tradedSpecifications need to be defined:What can be delivered,Where it can be delivered, When it can be deliveredSettled daily,Options, Futures, a

3、nd Other Derivatives, 5th edition © 2002 by John C. Hull,2.3,Margins,A margin is cash or marketable securities deposited by an investor with his or her brokerThe balance in the margin account is adjusted to reflec

4、t daily settlementMargins minimize the possibility of a loss through a default on a contract,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.4,,,Example of a Futures Trade,An investor

5、 takes a long position in 2 December gold futures contracts on June 5contract size is 100 oz.futures price is US$400margin requirement is US$2,000/contract (US$4,000 in total)maintenance margin is US$1,500/contract (

6、US$3,000 in total),Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.5,,,A Possible OutcomeTable 2.1, Page 25,,,,,,,,Daily,Cumulative,Margin,Futures,Gain,Gain,Account,Margin,Price,(Loss

7、),(Loss),Balance,Call,Day,(US$),(US$),(US$),(US$),(US$),400.00,4,000,5-Jun,397.00,(600),,(600),,3,400,0,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,13-Jun,393.30,(420),,(1,340),,2,660,1,340,,.,.,.,.,.,.,.,.,.,.,.,,.,.,.,.,.,.,19

8、-Jun,387.00,(1,140),,(2,600),,2,740,1,260,,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,.,26-Jun,392.30,260,,(1,540),,5,060,0,+,=,4,000,3,000,+,=,4,000,<,,,,Options, Futures, and Other Derivatives, 5th edition © 2002 by Jo

9、hn C. Hull,2.6,,,Other Key Points About Futures,They are settled dailyClosing out a futures position involves entering into an offsetting tradeMost contracts are closed out before maturity,Options, Futures, and Othe

10、r Derivatives, 5th edition © 2002 by John C. Hull,2.7,Delivery,If a contract is not closed out before maturity, it usually settled by delivering the assets underlying the contract. When there are alternatives about

11、 what is delivered, where it is delivered, and when it is delivered, the party with the short position chooses. A few contracts (for example, those on stock indices and Eurodollars) are settled in cash,Options, Futures,

12、 and Other Derivatives, 5th edition © 2002 by John C. Hull,2.8,,,Some Terminology,Open interest: the total number of contracts outstanding equal to number of long positions or number of short positionsSettlement

13、 price: the price just before the final bell each day used for the daily settlement processVolume of trading: the number of trades in 1 day,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C.

14、 Hull,2.9,Convergence of Futures to Spot (Figure 2.1, page 23),,,,Time,,,Time,(a),(b),FuturesPrice,FuturesPrice,Spot Price,Spot Price,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.

15、10,,,Questions,When a new trade is completed what are the possible effects on the open interest?Can the volume of trading in a day be greater than the open interest?,Options, Futures, and Other Derivatives, 5th edition

16、© 2002 by John C. Hull,2.11,,,Regulation of Futures,Regulation is designed to protect the public interestRegulators try to prevent questionable trading practices by either individuals on the floor of the exchange

17、or outside groups,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.12,,,Accounting & Tax,If a contract is used for Hedging: it is logical to recognize profits (losses) at the same

18、time as on the item being hedgedSpeculation: it is logical to recognize profits (losses) on a mark to market basisRoughly speaking, this is what the treatment of futures in the U.S.and many other countries attempts to

19、achieve,Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.13,,,Forward Contracts vs Futures Contracts,Private contract between 2 parties,Exchange traded,Non-standard contract,Standard co

20、ntract,Usually 1 specified delivery date,Range of delivery dates,Settled at maturity,Settled daily,,,,Delivery or final cash,settlement usually occurs,Contract usually closed out,prior to maturity,,,,FORWARDS,FUTURES,,,,

21、TABLE 2.3 (p. 36),Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull,2.14,,,Foreign Exchange Quotes,Futures exchange rates are quoted as the number of USD per unit of the foreign currencyF

22、orward exchange rates are quoted in the same way as spot exchange rates. This means that GBP, EUR, AUD, and NZD are USD per unit of foreign currency. Other currencies (e.g., CAD and JPY) are quoted as units of the foreig