2.1 Futures markets and the use of futures for Hedging Chapter 2 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
2.1 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 Futures Markets and the Use of Futures for Hedging Chapter 2
2.2 Futures Contracts Available on a wide range of underlyings Exchange traded Specifications(规定) need to be defined What can be delivered Where it can be delivered When it can be delivered Settled(结算) daily Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
2.2 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 Futures Contracts • Available on a wide range of underlyings • Exchange traded • Specifications(规定) need to be defined: – What can be delivered, – Where it can be delivered, & – When it can be delivered • Settled(结算) daily
2.3 Margins(保证金) A margin is cash or marketable securities deposited by an investor with his or her broker ° The balance(余额) in the margin account(保证金帐户) is adjusted to reflect daily settlement Margins minimize the possibility of a loss through a defau(违约)ona contract Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
2.3 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 Margins(保证金) • A margin is cash or marketable securities deposited by an investor with his or her broker • The balance(余额) in the margin account（保证金帐户） is adjusted to reflect daily settlement • Margins minimize the possibility of a loss through a default(违约) on a contract
2.4 Example of a Futures Trade An investor takes a long position in 2 December gold futures contracts on june 3 contract size is 100 oz futures price is US$400 per oz Initial margin(初始保证金) requirement is US$2,000/contract(US$4, 000 in total) maintenance margin(维持保证金)is US$1, 500/contract(US$3,000 in total) Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
2.4 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 Example of a Futures Trade • An investor takes a long position in 2 December gold futures contracts on June 3 – contract size is 100 oz. – futures price is US$400 per oz. – Initial margin(初始保证金) requirement is US$2,000/contract (US$4,000 in total) – maintenance margin(维持保证金) is US$1,500/contract (US$3,000 in total)
2.5 A Possible outcome Table 2.1, Page 25 Daily Cumulative Margin 保证金催付 Futures Gain Gain Account Margin Price Loss) ( Loss) Balance Call Day (USS) (USS)(US)(USS) (USS 400.00 4,000 3-Jun397.00(600)(600)34000 11-Jun393.30(420)(1,340)2660+1,340=4.00 3,000 17-Jun387.00(1,140)(2,600)2,740+1,260=4,000 24-Jun392.30 260(1,540)5,060 0 Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
2.5 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 A Possible Outcome Table 2.1, Page 25 Daily Cumulative Margin Futures Gain Gain Account Margin Price (Loss) (Loss) Balance Call Day (US$) (US$) (US$) (US$) (US$) 400.00 4,000 3-Jun 397.00 (600) (600) 3,400 0 . . . . . . . . . . . . . . . . . . 11-Jun 393.30 (420) (1,340) 2,660 1,340 . . . . . . . . . . . . . . . . . 17-Jun 387.00 (1,140) (2,600) 2,740 1,260 . . . . . . . . . . . . . . . . . . 24-Jun 392.30 260 (1,540) 5,060 0 + = 4,000 3,000 + = 4,000 < 保证金催付