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Modify Eun9e CH 007
Modify Eun9e CH 007
Modify Eun9e CH 007
Chapter 7
© 2021 McGraw Hill. All rights reserved. Authorized only for instructor use in the classroom. No
reproduction or further distribution permitted without the prior written consent of McGraw Hill.
Futures Contracts: Preliminaries 期貨合約:初步 1
© McGraw Hill 7
Performance Bond Money 履約保證金
Each day’s losses are subtracted from the investor’s account. 每天的損失從投
資者的帳戶中扣除。
Each day’s gains are added to the account. 每天的收益都會添加到帳戶中。
In this example, at initiation the long posts an initial performance bond of
$1,625. 在這個例子中,在開始時,多頭的股票初始履約保證金為
1 , 625 美元。
The maintenance level is $1,300. 維持原有活動水準為 1 300 美元。
• If this investor loses more than $325 ($1625 - $1300), he has a decision to make; he
can maintain his long position only by adding more funds, and if he fails to do so
his position will be closed out with an offsetting short position. 如果該投資者損失
超過 325 美元( 1625 美元 - 1300 美元),他必須做出決定 ; 他只能通過增
加更多的資金來維持他的多頭頭寸,如果他不這樣做,他的頭寸將被抵消的
空頭頭寸平倉。
© McGraw Hill 7
Daily Resettlement: first 3 days 每日安置:前 3 天
Over the first 3 days, the pound strengthens then depreciates in dollar
terms: 在前 3 天,英鎊走強,然後以美元計價貶值:
© McGraw Hill 7
Exercise
On Monday morning, you short one yen futures contract containing ¥12,500,000 at a
price of $0.009433. Suppose the broker requires a performance bond of $4,590 and a
maintenance performance bond of $3,400. The settlement prices for Monday through
Thursday are $0.009542, $0.009581, $0.009375, $0.009369, respectively. On Friday,
you close out the contract at a price of $0.009394. Calculate the daily cash flows on
your account. Describe any performance bond calls on your account. What is your cash
balance with your broker as of the close of business on Friday? Assume that you begin
with an initial balance of $4,590 and that your round trip commission was $37.
週一早上,您以 0.009433 美元的價格做空一份包含 12 , 500 , 000 日元的期貨
合約。 假設經紀人要求 4 , 590 美元的履約保證金和 3 , 400 美元的維護履約
保證金。週一至週四的結算價分別為 0.009542 美元、 0.009581 美元、 0.009375
美元和 0.009369 美元。週五,您以 0.009394 美元的價格平倉合約。 計算您帳戶
上的每日現金流。描述您帳戶上的任何履約保證金調用。截至週五營業結束時,
您與經紀人的現金餘額是多少?假設您從初始餘額 4 , 590 美元開始,您的往
返傭金為 37 美元。
© McGraw Hill 7
Differences between Futures and Forward Contract 期貨和遠
期合約的區別
Trading Location 交易地點
Futures: Traded competitively on organized exchanges. 期貨:在有組織的交易所進行競爭易
Forward: Traded by bank dealers via a network of telephones and computerized dealing systems. 遠期:由銀行交易商通
過電話網路和計算機化交易系統進行交易。
Settlement 殖民地
Futures: Daily settlement, or marking-to-market, done by the futures clearinghouse through the participant's performance
bond account. 期貨:期貨結算所通過參與者的履約保證金帳戶完成的每日結算或按市價計價。
Forward: Participant buys or sells the contractual amount of the underlying asset from the bank at maturity at the forward
(contractual) price. 遠期:參與者在到期時以遠期(合同)價格從銀行買入或賣出標的資產的合同金額。
Delivery 交貨
Futures: Delivery of the underlying asset is seldom made. Usually a reversing trade is transacted to exit the market. 期
貨:很少交割標的資產。通常,反轉交易是為了退出市場。
Forward: Delivery of the underlying asset is commonly made. 遠期:通常交付標的資產。
An option is a contract giving the owner the right, but not the obligation, to buy or sell a
given quantity of an asset at a specified price at some time in the future 期權是一種合約,賦
予擁有者在未來某個時候以指定價格購買或出售給定數量的資產的權利,但沒有義務
• Option to buy is a call, and option to sell is a put. 買入期權是看漲期權,賣出期權是看跌
期權。
• Buying or selling the underlying asset via the option is known as “exercising” the option.
通過期權購買或出售標的資產被稱為“行使”期權。
• Stated price paid or received is known as the exercise or striking price. 支付或收到的聲
明價格稱為行使或執行價格。
• Buyer of an option is often referred to as the long, and the seller of an option is referred to
as the writer (or the short). 期權的買方通常被稱為多頭,期權的賣方被稱為賣出者(或空
頭)。
• European option can be exercised only at maturity or expiration date of contract, but
American option can be exercised any time during contract. 歐洲期權只能在合約到期日
或到期日行使,但美國期權可以在合約期間的任何時間行使。
Sh
a call option on €10,000.
E + c0
or
€10 , 000 的看漲期權。
t1
option premium is $0.25
per € 期權費為每 $ 0.25 E
ca
美元
ll
The exercise price is
$1.50 per € 鍛煉價格為每