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Chapter7FuturesMarketsandtheUseofFuturesforHedgingPreparedby xuweiToAccompany Fundamental of Futures and Options MarketsFundamental of Futures and Options Markets,Fourth Editionby John C.HullInvestmentxuwei1Part1:衍生证券的性质衍生证券是价值依赖于其它更基本的标的资产的金融工具衍生证券的例子远期（Forwards）期货（Futures）期权（Options）互换（Swaps）Investmentxuwei2衍生证券市场交易所标准化的产品场内交易或电脑交易没有信用风险柜台市场(OTC)非标准化产品电话市场信用风险Investmentxuwei3在衍生证券市场上遭受巨大损失的企业企业时间损失额衍生证券种类Procter&Gamble1994$102million利率互换Metallgesellschaft1993$1.3billion石油期货BaringsBank2019$1.4billion指数期货Sumitomo2019$1.8billion铜期货OrangeCounty19941.7billion利率衍生证券Investmentxuwei4金融衍生工具市场参与者套期者(hedgers)：运用套期保值功能规避自己核心业务中存在的金融(财务)风险套利者(arbitrageurs)：利用市场存在的套利机会获取“免费午餐”，即无风险利润套利的积极作用投机者(speculators)：衍生工具市场风险的积极追求者，他们置自己的核心业务风险于不顾，期待通过衍生工具的买入或卖出获取高额回报期货市场参与者同样可分成三种人Investmentxuwei5衍生证券的经济功能风险转移投机和（内在）价格的发现Investmentxuwei6远期合约远期合约是指在今天达成的在未来某个时间按照某个既定的价格（被称为远期价格或执行价格）买卖资产的合约交易双方选定的执行价格通常会使合约的初始价值（initialvalue）为零；在签订合约的时候双方都不需要另一方付费，合约将在到期日被执行在柜台市场（OTC）达成远期合约的双方都面临着信用风险双方都有义务遵守合约Investmentxuwei7远期合约的执行实物交割：要求交割真实的资产现金交割：仅要求支付到期日的现货价格与执行价格之间的差价假设：3个月的黄金远期多头执行价格：$3003个月后的现货价格：$320Investmentxuwei8远期多头的盈亏示意图K到期日的价格，K:执行价格Investmentxuwei9远期空头的盈亏示意图K到期日价格,K:执行价格Investmentxuwei10Part2:TheFuturesMarketExchangesTradingFuturesChicagoBoardofTradeChicagoMercantileExchangeLIFFE(London)Eurex(Europe)BM&F(SaoPaulo,Brazil)TIFFE(Tokyo)andmanymore(seelistatendofFundamental of Futures and Options Markets,Fourth Edition by John C.Hull)ThedevelopmenthistoryofChinesefuturesmarket.Investmentxuwei11期货合约今天达成的在未来某个时间按照某一既定价格买卖资产的协议远期合约在柜台市场交易，而期货合约则在交易所交易需要界定的条款标的资产交割地-到期日和执行期-清算方式绝大多数合约在到期日之前就被平仓Investmentxuwei12提高流动性标准化的合约到期日合约金额价格变动的最小单位-标的资产(特别是商品)有组织的交易Investmentxuwei13降低信用风险每日结算：期货合约实行逐日盯市制度，在每个交易日结束时都进行结算保证金账号：要买卖期货合约，投资者必须缴纳既定金额的保证金以保证合约得到执行清算协会（Clearinghouse）：清算协会自身在任何交易都不持有头寸，但参与每笔交易，承担交易双方的中介Investmentxuwei14保证金账户保证金是由投资者在其经纪人处存入的现金或可交易证券（marketablesecurities）保证金账户余额的调整反映了每日的结算（利润或损失）初始保证金：交易者在建立期货头寸时必须在其交易账户（即保证金账户）中存入的金额当保证金账户的余额降到或低于维持保证金的时候，交易者将收到追加保证金的通知，要求将保证金账户余额提高到初始水平追加的金额被称为变动保证金如果保证金账户余额超过初始保证金水平，交易者可以将它们从该账户中提出Investmentxuwei15盯市(Marktomarket)按照市场价格的随时(实践中大多是每日)结算盈亏盈亏的结算通过放在期货清算所中的保证金(margin)余额的增减来实现作用大大降低交易的违约风险具有很强的杠杆作用，对交易者意味着较大的价格风险保证金水平通常是期货合同价值的3%-10%若保证金要求为5%，则交纳10万元保证金即可持有市场价值200万元的期货合同Investmentxuwei16FuturestradeExampleofmargin:Aninvestortakesalongpositionof200ounce(1ounce=1/12pound31.1g）in2DecembergoldfuturescontractsonJune5contractsizeis100oz.futurespriceisUS$400marginrequirementisUS$2,000/contract(US$4,000intotal)maintenancemarginisUS$1,500/contract(US$3,000intotal)Investmentxuwei17APossibleOutcomeTable4.1DailyCumulative MarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0005-Jun 397.00(600)(600)3,4000.13-Jun 393.30(420)(1,340)2,6601,340.19-Jun 387.00(1,140)(2,600)2,7401,260.26-Jun 392.30260(1,540)5,0600+=4,0003,000+=4,000FuturestradeInvestmentxuwei18FuturestradeClosingoutapositionClosingoutafuturespositioninvolvesenteringintoanoffsettingtradeMostcontractsareclosedoutbeforematurityInvestmentxuwei19FuturestradeDeliveryIfacontractisnotclosedoutbeforematurity,itusuallysettledbydeliveringtheassetsunderlyingthecontract.Whentherearealternativesaboutwhatisdelivered,whereitisdelivered,andwhenitisdelivered,thepartywiththeshortpositionchooses.Afewcontracts(forexample,thoseonstockindicesandEurodollars)aresettledincashInvestmentxuwei20FuturestradeLeverageExample:(theformer)OnJune5,theinvestorsdailylosswas$600.Supposethathehadbought200ozgolddirectly,thelosswouldbe$3.sotheleverageis200times.Thisisinverselyrelatedtothepercentageofmargin.Investmentxuwei21保证金账户的例子一个投资者在IMM持有美元/英镑期货多头合约金额：62,500英镑初始保证金：1,485美元维持保证金：1,100美元Investmentxuwei22日期结算价格开市余额(美元)每日盈亏(美元)收市余额(美元)追加保金通知(美元)累积盈亏(美元)1.65001,48501/111.65081,485501,5355002/111.64121,535-600935550-55003/111.63841,485-1751,310-72504/111.64561,3104501,760-27505/111.64921,4852251,710-5008/111.63081,71009/111.640810/111.650411/111.658812/11Investmentxuwei23ForwardContractsvsFuturesContractsPrivate contract between 2 partiesExchange tradedNon-standard contractStandard contractUsually 1 specified delivery dateRange of delivery datesSettled at maturitySettled dailyDelivery or final cashsettlement usually occursContract usually closed outprior to maturityFORWARDSFUTURESInvestmentxuwei24Part3:用期货做套期保值套期保值也称之为“套头交易”，是指利用期货合约的交易使得现货商品免受价格波动的干扰，进而达到控制材料成本、保障商品利润，减少风险等目的。减少不利的风险暴露，同时也丧失了获利的机会将风险从那些希望规避风险的人转移到那些愿意承受风险的人衍生证券不能消除为波动性资产所具有的风险，但是它们可以决定由谁来承担这些风险Investmentxuwei25套期保值在公司中的应用在未来会收到外币收入卖空外币远期（空头）Boeing公司刚刚卖给BritishAirways4架Boeing-747，总价格为2亿英镑，在1年内支付Boeing公司可以通过卖空英镑远期来对这一英镑现金流进行套期保值如果1年期远期汇率为1.60美元/英镑，则无论1年后美元对英镑的汇率会怎么变动，Boeing公司都将收到3.2亿美元Investmentxuwei26套期保值在公司中的应用在未来要支付外币买入外币远期(多头)一家英国公司从瑞士进口了一批货物，需要在6个月内支付1亿瑞士法郎该公司可以通过购买瑞士法郎远期来进行套期保值。6个月的远期汇率为1.54瑞士法郎/英镑，因此该公司需要支付6494万英镑Investmentxuwei27HedgingStrategiesUsingFuturesLong&ShortHedgesBasisRiskChoiceofContractOptimalHedgeRatioInvestmentxuwei28Long&ShortHedgesThedefinitionofhedges.A long futures hedgeisappropriatewhenyouknowyouwillpurchaseanassetinthefutureandwanttolockinthepriceA short futures hedgeisappropriatewhenyouknowyouwillsellanassetinthefuture&wanttolockintheprice.Investmentxuwei29Long&ShortHedgesConvergenceofFuturestoSpotTimeTime(a)(b)FuturesPriceFuturesPriceSpot PriceSpot PriceInvestmentxuwei30Long&ShortHedgesExamples:OnApril5,awheatproducerwillsell5000bushel(1bushel=8gallon)wheatafter3months.Thepricenow$5.70/bushelsatisfieshim.HeentersintoashortfuturescontractonCOMEXtosell5000bushelofwheat$5.60inJuly.Apr.5Jul.5Cumulativegain(loss)Jul.5Cumulativegain(loss)Merchandiseonhand$5.70$4.70($5000)$6.70$5000Futures$5.60$4.60$5000$6.60($5000)Investmentxuwei31BasisRiskBasisisthedifferencebetweenspot&futuresBasisriskarisesbecauseoftheuncertaintyaboutthebasiswhenthehedgeisclosedoutExample:Apr.5Jul.5Cumulativegain(loss)Jul.5Cumulativegain(loss)Merchandiseonhand$5.70$4.50($6000)$6.70$5000Futures$5.60$4.60$5000$6.60($5000)Investmentxuwei32BasisRiskLongHedgeSupposethatF1:InitialFuturesPriceF2:FinalFuturesPriceS2 :FinalAssetPriceYouhedgethefuturepurchaseofanassetbyenteringintoalongfuturescontractCostofAsset=S2(F2 F1)=F1+BasisInvestmentxuwei33BasisRiskShortHedgeSupposethatF1:InitialFuturesPriceF2:FinalFuturesPriceS2 :FinalAssetPriceYouhedgethefuturesaleofanassetbyenteringintoashortfuturescontractPriceRealized=S2+(F1 F2)=F1+BasisInvestmentxuwei34ChoiceofContractChooseadeliverymonththatisascloseaspossibleto,butlaterthan,theendofthelifeofthehedgeWhenthereisnofuturescontractontheassetbeinghedged,choosethecontractwhosefuturespriceismosthighlycorrelatedwiththeassetprice.Therearethen2componentstobasisInvestmentxuwei35OptimalHedgeRatioProportionoftheexposurethatshouldoptimallybehedgedisWheresSisthestandarddeviationofdS,thechangeinthespotpriceduringthehedgingperiodsFisthestandarddeviationofdF,thechangeinthefuturespriceduringthehedgingperiodristhecoefficientofcorrelationbetweendSanddFInvestmentxuwei36OptimalHedgeRatioExample:Anairlineexpectstopurchasetwomilliongallonsofjetfuelinonemonthanddecidestouseheatingoilfuturesforhedging.EachheatingoilcontracttradeonNYMEXison42,000gallonsofheatingoil.Thedataofpriceisinthistable.Whatistheoptimalnumberofcontracts?h=0.78numberis37.14Investmentxuwei37Part4:期货价格的确定现货市场上，资产XYZ的售价为100元。XYZ的持有者每年可以获得12元，每季度3元。下一个季度的支付恰好是现在的三个月后。XYZ期货合约三个月的执行价格为88元。资金借贷的年利率为8%。假设条件如下：不存在交易费用。投资者可以自由的进行资金的借贷。市场是允许卖空的。Investmentxuwei38期货价格的确定假如：XYZ期货合约三个月的执行价格为107元。则：1）借入100元，购买XYZ，持有。2）卖出期货合约成本：100（1+2%）=102收益：107+3=110利润：110-102=8Investmentxuwei39期货价格的确定假如：XYZ期货合约三个月的执行价格为92元。则：1）卖空XYZ现货2）将100元贷出3）买入期货合约成本：92+3=95收益：100（1+2%）=102利润：102-95=7Investmentxuwei40期货价格的确定1、卖空期货合约。2、买入资产。3、进行交割。Investmentxuwei41
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