期权期货及衍生证券.pptVIP

Mechanics of Futures Markets Chapter 2 Futures Contracts Available on a wide range of underlying assets Exchange traded Specifications need to be defined: What can be delivered, Where it can be delivered, When it can be delivered Settled daily 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 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$400 margin requirement is US$2,000/contract (US$4,000 in total) maintenance margin is US$1,500/contract (US$3,000 in total) A Possible OutcomeTable 2.1, Page 25 Other Key Points About Futures They are settled daily Closing out a futures position involves entering into an offsetting trade Most contracts are closed out before maturity Delivery If a contract is not closed out before maturity, it usually settled by delivering the assets underlying the contract. When there are alternatives about what is delivered, where it is delivered, and when it is delivered, the party with the short position chooses. A few contracts (for example, those on stock indices and Eurodollars) are settled in cash Some Terminology Open interest: the total number of contracts outstanding equal to number of long positions or number of short positions Settlement price: the price just before the final bell each day used for the daily settlement process Volume of trading: the number of trades in 1 day Convergence of Futures to Spot (Figure 2.1, page 23) Questions When a new trade is completed what are the possible effects on the open interest? Can the volume of trading in a day be greater than the open interest? Regulation of Futures Regulation is designed to protect the public interest Regulators try to prevent questionable trading practices by ei