[经济学]Chapter3 Futures and Options on Foreign Exchange.ppt

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[经济学]Chapter3 Futures and Options on Foreign Exchange.ppt

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[经济学]Chapter3 Futures and Options on Foreign Exchange

* Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 * Thursday March 3, 2005 Reading Eurodollar Futures Quotes ? Eurodollar futures prices are stated as an index number of 3-month LIBOR calculated as F = 100 – LIBOR. The closing price for the June contract is 96.56 thus the implied 3-month LIBOR yield is 3.44 percent = 100 – 96.56 Since it is a 3-month contract one basis point corresponds to a $25 price change: 0.01 percent of $1 million represents $100 on an annual basis. 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 Eurodollar Futures Hedge March One thing that should be remembered: A decrease in the implied 3-month LIBOR yield causes the Eurodollar futures price to increase. Eurodollar Futures Hedge (Continued) The treasurer is locking in a certain return of $174,000=$20,000,000 ×3.48%× 1/4 Compare: $155,000=$20,000,000 ×3.1%× 1/4 (suppose ST=FT=3.1%) △= $174,000- $155,000=$19,000 Effective price=3.1%+0.38%=3.48% Options Contracts: Preliminaries An option gives the holder (buyer) 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. Options Contracts: Preliminaries European vs. American options: When to exercise the options? European options can only be exercised on the expiration date. American options can be exercised at any time up to and including the expiration date. Since this option to exercise early generally has value, American options are usually worth more than European options, other things equal. Options Contracts: Preliminaries For call options: