CONTRACTS外币期货合约.pptVIP

Currency Futures and Options Markets Chapter 8 PART I.FUTURES CONTRACTS外幣期貨合約 I. CURRENCY FUTURES外幣期貨合約 A. Background 1. Long history 2. Extremely volatile due to information driven nature 3. Price Discovery Role FUTURES CONTRACTS 1972: Chicago Mercantile Exchange opens the International Monetary Market (IMM). Purpose: FUTURES CONTRACTS 2. IMM provides a. an outlet for hedging currency risk with futures contracts. Definition: contracts written requiring a standard quantity of an available currency at a fixed exchange rate at a set delivery date. FUTURES CONTRACTS b. Available Futures Currencies/Contract Size: 1.) British pound / 62,500 2.) Canadian dollar /100,000 3.) Euro / 125,000 4.) Swiss franc / 125,000 5.) Japanese yen / 12.5 million 6.) Mexican peso / 500,000 7.) Australian dollar / 100,000 FUTURES CONTRACTS c. Transaction costs: commission payment to a floor trader d. Leverage is high 1.) Initial margin required is relatively low (less than 2% of contract value). FUTURES CONTRACTS: SAFEGUARDS e. Maximum price movements 1.) Contracts set to a daily price limit restricting maximum daily price movements. 2.) If limit is reached, a margin call may be necessary to maintain a minimum margin. FUTURES CONTRACTS g. Global futures exchanges: 1.) I.M.M. International Monetary Market 2.) L.I.F.F.E.London International Financial Futures Exchange 3.) C.B.O.T. Chicago Board of Trade 4.) S.I.M.E.X.Singapore International Monetary Exchange 5.) D.T.B. Deutsche Termin Bourse 6.) H.K.F.E. Hong Kong Futures Exchange 外幣期貨合約 1/2 針對特定數量的某一特定貨幣所設計的合約。 匯率是在合約買賣當時所決定的。 鼓勵私人參與。 交割日是由交易所決定。 財務槓桿很高：所需的保證金平均低於期貨契約價值的 2%。 交易員在期貨市場是賺取佣金費用。 外幣期貨合約 2/2 全球重要外幣期貨交易所 1/2 芝加哥商品交易所(CME) 倫敦國際金融期貨交易所(LIFFE) 芝加哥交易所(CBOT) 紐約商品交易所(NYME) 費城股票交易所(PHLX) 新加坡國際貨幣交易所(SIMEX) 全球重要外幣期貨交易所 2/2 法蘭克福的德國期貨交易所(DTB) 香港期貨交易所(HKFE) 巴黎的金融工具暨期貨交易所(MATIF) 東京國際金融期貨交易所(TIFF