第章必讲外汇期货与外汇期权.ppt

* Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 Reading Eurodollar Futures Quotes （不讲） ? Eurodollar futures prices are stated as an index number of three-month LIBOR calculated as LIBOR = 100 –F. The closing price for the June contract is 96.56 thus the implied yield is 3.44 percent = 100 – 96.56 Since it is a 3-month contract one basis point（一个基点，万分之一） corresponds to a $25 price change: 0.01 percent of $1 million represents $100 on an annual basis（1个基点1年变动100美元）. 国财5版143 例7-3 OPEN HIGH LOW SETTLE CHG OPEN INT YLD CHG Eurodollar (CME)—1,000,000; pts of 100% 96.56 96.58 96.55 96.56 - 3.44 - Jun 1,398,959 Options Contracts: Preliminaries An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today. Calls vs. Puts Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today. Put options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today. 对于即期市场、远期市场、期货市场，long和short直接与underlying asset搭配；对于期权市场，long和short与call和put搭配，call和put与underlying asset搭配。 Options Contracts: Preliminaries 以中国权证市场为例，可知期权市场的一些特征： 1、在其他条件相同情况下，对于看涨期权（Call Option），执行价格（Exercise price）越高，期权费越低；对于看跌期权（Put Option），执行价格（Exercise price）越高，期权费越高。 2、对于同一个期权，金融机构报出两个价格，一个买价，一个卖价，卖价要高于买价，这里的卖价和买价都是站在金融机构的角度来看的。例如，投资者从金融机构买入一个Call Option所支付的期权费（卖价）要高于投资者将该Call Option卖给金融机构所收到的期权费（买价）。 Options Contracts: Preliminaries European vs. American options European options can only be exercised on the expiration date. American options can be exercised at any time up to （直到）and including the expiration date. Since this option to exercise early generally has value, A