期权期货及其他衍生产品Ch02.pptVIP

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期权期货及其他衍生产品Ch02.ppt

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期权期货及其他衍生产品Ch02

* * * * * * * 16 17 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 Chapter 2Mechanics of Futures Markets Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Futures Contracts Available on a wide range of assets Exchange traded Specifications need to be defined: What can be delivered, Where it can be delivered, When it can be delivered Settled daily Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Convergence of Futures to Spot Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Time Time (a) (b) Futures Price Futures Price Spot Price Spot Price Margins A margin is cash or marketable securities deposited by an investor with his or her broker The balance in the margin account is adjusted to reflect daily settlement Margins minimize the possibility of a loss through a default on a contract Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Example of a Futures Trade An investor takes a long position in 2 December gold futures contracts on June 5 contract size is 100 oz. futures price is US$1250 initial margin requirement is US$6,000/contract (US$12,000 in total) maintenance margin is US$4,500/contract (US$9,000 in total) Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * A Possible Outcome Options, Futures, and Other Derivatives, 8th Edition, Copyright ? John C. Hull 2012 * Day Trade Price ($) Settle Price ($) Daily Gain ($) Cumul. Gain ($) Margin Balance ($) Margin Call ($) 1 1,250.00 12,000 1 1,241.00 ?1,800 ? 1,800 10,200 2 1,238.30 ?540 ?2,340 9,660 ….. ….. ….. ….. …… 6 1,236.20