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1、Chapter2 MechanicsofFuturesMarkets1期貨合約AvailableonawiderangeofassetsExchangetradedSpecificationsneedtobedefined:Whatcanbedelivered,Whereitcanbedelivered,&WhenitcanbedeliveredSettleddaily2期貨與現(xiàn)貨價(jià)格的收斂(Figure2.1,page26)TimeTime(a)(b)FuturesPriceFuturesPriceSpotPriceSpotPrice3保證金Amarginiscasho
2、rmarketablesecuritiesdepositedbyaninvestorwithhisorherbrokerThebalanceinthemarginaccountisadjustedtoreflectdailysettlementMarginsminimizethepossibilityofalossthroughadefaultonacontract4ExampleofaFuturesTrade(page27-29)Aninvestortakesalongpositionin2DecembergoldfuturescontractsonJune5contr
3、actsizeis100oz.futurespriceisUS$1250initialmarginrequirementisUS$6,000/contract(US$12,000intotal)maintenancemarginisUS$4,500/contract(US$9,000intotal)5APossibleOutcome(Table2.1,page28)DayTradePrice($)SettlePrice($)DailyGain($)Cumul.Gain($)MarginBalance($)MarginCall($)11,250.0012,00011,241
4、.00?1,800?1,80010,20021,238.30?540?2,3409,660…..…..…..…..……61,236.20?780?2,7609,24071,229.90?1,260?4,0207,9804,02081,230.80180?3,84012,180…..…..…..…..……161,226.90780?4,62015,1806MarginCashFlowsWhenFuturesPriceIncreasesLongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrok
5、erShortTrader7MarginCashFlowsWhenFuturesPriceDecreasesLongTraderBrokerClearingHouseMemberClearingHouseClearingHouseMemberBrokerShortTrader8術(shù)語Openinterest:thetotalnumberofcontractsoutstandingequaltonumberoflongpositionsornumberofshortpositionsSettlementprice:thepricejustbeforethefinalbelle
6、achdayusedforthedailysettlementprocessVolumeoftrading:thenumberoftradesinoneday9期貨的特點(diǎn)TheyaresettleddailyClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurity10CrudeOilTradingonMay26,2010OpenHighLowSettleChangeVolumeOpenIntJul201070.0671.706
7、9.2171.512.766,315388,902Aug201071.2572.7770.4272.542.443,746115,305Dec201074.0075.3473.1775.232.195,055196,033Dec201177.0178.5976.5178.532.004,175100,674Dec201278.5080.2178.5080.181.861,25870,12611場(chǎng)外市場(chǎng)的抵押Itisbecomingincreasinglycommonfortransactionstobecollateraliz
