1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 19 Futures Markets INVESTMENTS | BODIE, KANE, MARCUS 19-2 Forward a deferred-delivery sale of an asset with the sales price agreed on now. Futures - similar to forward b
2、ut feature formalized and standardized contracts. Key difference in futures Standardized contracts create liquidity Marked to market Exchange mitigates credit risk Futures and Forwards INVESTMENTS | BODIE, KANE, MARCUS 19-3 A futures contract is the obligation to make or take delivery of the underly
3、ing asset at a predetermined price. Futures price the price for the underlying asset is determined today, but settlement is on a future date. The futures contract specifies the quantity and quality of the underlying asset and how it will be delivered. Basics of Futures Contracts INVESTMENTS | BODIE,
4、 KANE, MARCUS 19-4 Basics of Futures Contracts Long a commitment to purchase the commodity on the delivery date. Short a commitment to sell the commodity on the delivery date. Futures are traded on margin. At the time the contract is entered into, no money changes hands. INVESTMENTS | BODIE, KANE, M
5、ARCUS 19-5 Basics of Futures Contracts Profit to long = Spot price at maturity - Original futures price Profit to short = Original futures price - Spot price at maturity The futures contract is a zero-sum game, which means gains and losses net out to zero. INVESTMENTS | BODIE, KANE, MARCUS 19-6 Figu
6、re 19.2 Profits to Buyers and Sellers of Futures and Option Contracts INVESTMENTS | BODIE, KANE, MARCUS 19-7 Figure 19.2 Conclusions Profit is zero when the ultimate spot price, PT equals the initial futures price, F0 . Unlike a call option, the payoff to the long position can be negative because th
7、e futures trader cannot walk away from the contract if it is not profitable. INVESTMENTS | BODIE, KANE, MARCUS 19-8 Existing Contracts Futures contracts are traded on a wide variety of assets in four main categories: 1. Agricultural commodities 2. Metals and minerals 3. Foreign currencies 4. Financi
8、al futures INVESTMENTS | BODIE, KANE, MARCUS 19-9 Trading Mechanics Electronic trading has mostly displaced floor trading. CBOT and CME merged in 2007 to form CME Group. The exchange acts as a clearing house and counterparty to both sides of the trade. The net position of the clearing house is zero.
9、 INVESTMENTS | BODIE, KANE, MARCUS 19-10 Open interest is the number of contracts outstanding. If you are currently long, you simply instruct your broker to enter the short side of a contract to close out your position. Most futures contracts are closed out by reversing trades. Only 1-3% of contract
10、s result in actual delivery of the underlying commodity. Trading Mechanics INVESTMENTS | BODIE, KANE, MARCUS 19-11 Figure 19.3 Trading without a Clearinghouse; Trading with a Clearinghouse INVESTMENTS | BODIE, KANE, MARCUS 19-12 Marking to Market - each day the profits or losses from the new futures
11、 price are paid over or subtracted from the account Convergence of Price - as maturity approaches the spot and futures price converge Margin and Marking to Market INVESTMENTS | BODIE, KANE, MARCUS 19-13 Initial Margin - funds or interest-earning securities deposited to provide capital to absorb loss
12、es Maintenance margin - an established value below which a traders margin may not fall Margin call - when the maintenance margin is reached, broker will ask for additional margin funds Margin and Trading Arrangements INVESTMENTS | BODIE, KANE, MARCUS 19-14 Trading Strategies Speculators seek to prof
13、it from price movement short - believe price will fall long - believe price will rise Hedgers seek protection from price movement long hedge - protecting against a rise in purchase price short hedge - protecting against a fall in selling price INVESTMENTS | BODIE, KANE, MARCUS 19-15 Basis - the diff
14、erence between the futures price and the spot price, FT PT The convergence property says FT PT= 0 at maturity. Basis and Basis Risk INVESTMENTS | BODIE, KANE, MARCUS 19-16 Before maturity, FT may differ substantially from the current spot price. Basis Risk - variability in the basis means that gains
15、 and losses on the contract and the asset may not perfectly offset if liquidated before maturity. Basis and Basis Risk INVESTMENTS | BODIE, KANE, MARCUS 19-17 Spot-futures parity theorem - two ways to acquire an asset for some date in the future: 1. Purchase it now and store it 2. Take a long positi
16、on in futures These two strategies must have the same market determined costs Futures Pricing INVESTMENTS | BODIE, KANE, MARCUS 19-18 Spot-Futures Parity Theorem With a perfect hedge, the futures payoff is certain - there is no risk. A perfect hedge should earn the riskless rate of return. This rela
17、tionship can be used to develop the futures pricing relationship. INVESTMENTS | BODIE, KANE, MARCUS 19-19 Hedge Example: Section 19.4 Investor holds $1000 in a mutual fund indexed to the S&P 500. Assume dividends of $20 will be paid on the index fund at the end of the year. A futures contract with d
18、elivery in one year is available for $1,010. The investor hedges by selling or shorting one contract . INVESTMENTS | BODIE, KANE, MARCUS 19-20 Hedge Example Outcomes Value of ST 9901,010 1,030 Payoff on Short (1,010 - ST) 20 0 -20 Dividend Income 20 20 20 Total1,030 1,030 1,030 INVESTMENTS | BODIE,
19、KANE, MARCUS 19-21 Rate of Return for the Hedge %3 000, 1 000, 1)20010, 1 ( )( 0 00 S SDF INVESTMENTS | BODIE, KANE, MARCUS 19-22 The Spot-Futures Parity Theorem f r S SDF 0 00 )( Rearranging terms 0 000 )1 ()1 ( S D d drSDrSF ff INVESTMENTS | BODIE, KANE, MARCUS 19-23 Arbitrage Possibilities If spo
20、t-futures parity is not observed, then arbitrage is possible. If the futures price is too high, short the futures and acquire the stock by borrowing the money at the risk free rate. If the futures price is too low, go long futures, short the stock and invest the proceeds at the risk free rate. INVES
21、TMENTS | BODIE, KANE, MARCUS 19-24 Spread Pricing: Parity for Spreads 1 2 1 2 01 02 )( 21 (1)() (1)() (1)()() T f T f T T f rdFST rdFST rdFFTT INVESTMENTS | BODIE, KANE, MARCUS 19-25 Spreads If the risk-free rate is greater than the dividend yield (rf d), then the futures price will be higher on lon
22、ger maturity contracts. If rf d, longer maturity futures prices will be lower. For futures contracts on commodities that pay no dividend, d=0, F must increase as time to maturity increases. INVESTMENTS | BODIE, KANE, MARCUS 19-26 Figure 19.6 Gold Futures Prices INVESTMENTS | BODIE, KANE, MARCUS 19-27 Futures Prices vs. Expected Spot Prices Expectations Normal Backwardation Contango Modern Portfolio Theory INVESTMENTS | BODIE, KANE, MARCUS 19-28 Figure 19.7 Futures Price Over Time, Special Case
