INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap022 Futures Markets.ppt

CHAPTER 22 Futures Markets INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Forward – a deferred-delivery sale of an asset with the sales price agreed on now. Futures - similar to forward but feature formalized and standardized contracts. Key difference in futures Standardized contracts create liquidity Marked to market Exchange mitigates credit risk Futures and Forwards A futures contract is the obligation to make or take delivery of the underlying asset at a predetermined price. Futures price – the price for the underlying asset is determined today, but settlement is on a future date. The futures contract specifies the quantity and quality of the underlying asset and how it will be delivered. Basics of Futures Contracts Basics of Futures Contracts Long – a commitment to purchase the commodity on the delivery date. Short – a commitment to sell the commodity on the delivery date. Futures are traded on margin. At the time the contract is entered into, no money changes hands. Basics of Futures Contracts Profit to long = Spot price at maturity - Original futures price Profit to short = Original futures price - Spot price at maturity The futures contract is a zero-sum game, which means gains and losses net out to zero. Figure 22.2 Profits to Buyers and Sellers of Futures and Option Contracts Figure 22.2 Conclusions Profit is zero when the ultimate spot price, PT equals the initial futures price, F0 . Unlike a call option, the payoff to the long position can be negative because the futures trader cannot walk away from the contract if it is not profitable. Existing Contracts Futures contracts are traded on a wide variety of assets in four main categories: Agricultural commodities Metals and minerals Foreign currencies Financial futures Trading Mechanics Electronic trading has mostly displaced floor trading. CBOT and CME merged in 2007 to form CME Group.