《投资学 Investments》课程教学资源（PPT课件，中英文）第22章 期货市场 Futures Markets

第22章 期货市场 Futures markets 22-1

22-1 第22章 期货市场 Futures Markets

期货市场 Futures markets 22.1期货合约 222期货市场的交易机制 22.3期货市场策略 224金融价格的决定 22.5金融期货 22-2

22-2 期货市场 Futures Markets 22.1 期货合约 22.2 期货市场的交易机制 22.3 期货市场策略 22.4 金融价格的决定 22.5 金融期货

期货和远期合约 Futures and forwards ■远期合约-在未来某一时间以现在商定的价格买卖资产的协议 Forward -an agreement calling for a future delivery of an asset at an agreed-upon price ■期货合约一将远期合约标准化和正式化 Futures-similar to forward but feature formalized and standardized characteristics 期货与远期合约的主要差异 Key difference in futures 二手交易一流动性 Secondary trading- liquidity 集中市场 Marked to market 标准合同单位 Standardized contract units 清算所保证合约的执行 Clearinghouse warrants performance 22-3

22-3 期货和远期合约 Futures and Forwards 远期合约–在未来某一时间以现在商定的价格买卖资产的协议 Forward - an agreement calling for a future delivery of an asset at an agreed-upon price 期货合约－将远期合约标准化和正式化 Futures - similar to forward but feature formalized and standardized characteristics 期货与远期合约的主要差异Key difference in futures – 二手交易－流动性 Secondary trading - liquidity – 集中市场 Marked to market – 标准合同单位 Standardized contract units – 清算所保证合约的执行 Clearinghouse warrants performance

期货合同的关键项 Key Terms for Futures Contracts 期货价格一到期日的商定价格 Futures price- agreed-upon price at maturity ■持有多头寸一承诺购买 Long position -agree to purchase ■持有空头寸一承诺卖出 Short position agree to sell 头寸到期日的收益 Profits on positions at maturity 多头寸收益=到期日的既期价格一初始期货价格 Long spot minus original futures price 空头寸收益初始期货价格一到期日的既期价格 Short original futures price minus spot

22-4 期货合同的关键项 Key Terms for Futures Contracts 期货价格 － 到期日的商定价格 Futures price - agreed-upon price at maturity 持有多头寸－ 承诺购买 Long position - agree to purchase 持有空头寸－承诺卖出 Short position - agree to sell 头寸到期日的收益 Profits on positions at maturity 多头寸收益＝到期日的既期价格－初始期货价格 Long = spot minus original futures price 空头寸收益＝初始期货价格－到期日的既期价格 Short = original futures price minus spot

合同类型 Types of Contracts ■农产品 Agricultura| commodities ■金属和矿产品(包括能源) Metals and minerals(including energy contracts) ■外汇 Foreign currencies ■金融期货 Financial futures 利率期货 Interest rate futures 股指期货 Stock index futures 22-5

22-5 合同类型 Types of Contracts 农产品 Agricultural commodities 金属和矿产品（包括能源 ） Metals and minerals (including energy contracts) 外汇 Foreign currencies 金融期货 Financial futures 利率期货 Interest rate futures 股指期货 Stock index futures

交易机制 Trading Mechanics 清算所一担当多头寸的合约卖方和空头寸的合约买方 Clearinghouse - acts as a party to all buyers and sellers 有义务向多头寸转让商品和向空头寸转让的商品支付货 Obligated to deliver or supply delivery ■平仓 Closing out positions 反向交易 Reversing the trade 买入和出售 Take or make delivery 绝大部分交易都被对冲没有实际的交易 Most trades are reversed and do not involve actual delivery 226

22-6 交易机制 Trading Mechanics 清算所－ 担当多头寸的合约卖方和空头寸的合约买方 Clearinghouse - acts as a party to all buyers and sellers. – 有义务向多头寸转让商品和向空头寸转让的商品支付货 款 Obligated to deliver or supply delivery 平仓Closing out positions – 反向交易 Reversing the trade – 买入和出售 Take or make delivery – 绝大部分交易都被对冲没有实际的交易 Most trades are reversed and do not involve actual delivery

保证金和交易事项 Margin and Trading Arrangements 原始保证金一提供弥补损失的储备基金 Initial Margin-funds deposited to provide capital to absorb losses 盯市-每天在会计帐户上反映的新的期货价格变化 带来的收益或损失 Marking to Market -each day the profits or losses from the new futures price and reflected in the account 维持保证金或可变保证金一交易者的保证金不能低 与此保证金线 Maintenance or variance margin -an established value below which a traders margin may not fall 22-7

22-7 保证金和交易事项 Margin and Trading Arrangements 原始保证金 – 提供弥补损失的储备基金 Initial Margin - funds deposited to provide capital to absorb losses 盯市 – 每天在会计帐户上反映的新的期货价格变化 带来的收益或损失 Marking to Market - each day the profits or losses from the new futures price and reflected in the account. 维持保证金或可变保证金 – 交易者的保证金不能低 与此保证金线 Maintenance or variance margin - an established value below which a trader’s margin may not fall

保证金和交易事项 Margin and Trading Arrangements 保证金增加-在维持保证金达到保证金线时,经纪人 将要投资者支付额外的保证金 Margin call -when the maintenance margin is reached broker will ask for additional margin funds 价格趋同-在到期日期货价格与市价相等 Convergence of Price- as maturity approaches the spot and futures price converge 交割一实际的某类商品进行交割或现金结算 Delivery -Actual commodity of a certain grade with a delivery location or for some contracts cash settlement 22-8

22-8 保证金和交易事项 Margin and Trading Arrangements 保证金增加-在维持保证金达到保证金线时，经纪人 将要投资者支付额外的保证金 Margin call - when the maintenance margin is reached, broker will ask for additional margin funds 价格趋同-在到期日期货价格与市价相等 Convergence of Price - as maturity approaches the spot and futures price converge 交割 – 实际的某类商品进行交割或现金结算 Delivery - Actual commodity of a certain grade with a delivery location or for some contracts cash settlement

交易策略 Trading Strategies ■投机 Speculation 空头寸一相信价格将下跌 short-believe price will fall 多头寸-相信价格将上升 long - believe price will rise ■套期 Hedging 多斗套期一保护价格上升 long hedge-protecting against a rise in price 空头套期-保护价格下跌 short hedge-protecting against a fall in price 22-9

22-9 交易策略 Trading Strategies 投机 Speculation - – 空头寸 – 相信价格将下跌 short - believe price will fall – 多头寸 -相信价格将上升 long - believe price will rise 套期Hedging - – 多斗套期 – 保护价格上升 long hedge - protecting against a rise in price – 空头套期 -保护价格下跌 short hedge - protecting against a fall in price

基差和基差风险 Basis and basis risk 基差-期货价格与现货价格的差 Basis- the difference between the futures price and the spot price 在到期前的时间短整个基差都在变化最后为零 over time the basis will likely change and will eventually converge 基差风险-影响利润或套期业绩的基差变化 Basis risk- the variability in the basis that will affect profits and/or hedging performance 22-10

22-10 基差和基差风险 Basis and Basis Risk 基差- 期货价格与现货价格的差 Basis - the difference between the futures price and the spot price – 在到期前的时间短整个基差都在变化最后为零 over time the basis will likely change and will eventually converge 基差风险-影响利润或套期业绩的基差变化 Basis Risk - the variability in the basis that will affect profits and/or hedging performance