22-1
第 22章期货市场
Futures Markets
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
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
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
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
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
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.
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
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
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
22-11
期货定价
Futures Pricing
现货 -期货平价理论 -两种方法可以在未来某日得到资产
Spot-futures parity theorem - two ways to
acquire an asset for some date in the future
– 现在购买它并储存它到目标日
Purchase it now and store it
– 购买期货合约
Take a long position in futures
– 这两种策略都有相同的市场成本
These two strategies must have the same market
determined costs
22-12
平价举例
Parity Example
无现金股利的股票
Stock that pays no cash dividend
– 无储存成本 no storage costs
– 价格无季节性 no seasonal patterns in prices
策略 1：现在购买它并储存它到时间 T
Strategy 1,Buy the stock now and hold it until
time T
策略 2：今日购买到期时间为时间 T的期货合约
Strategy 2,Put funds aside today to perform on
a futures contract for delivery at time T that is
acquired today
22-13
平价举例 Parity Example Outcomes
Strategy A,Action Initial flows Flows at T
Buy stock -So ST
Strategy B,Action Initial flows Flows at T
Long futures 0 ST - FO
Invest in Bill
FO(1+rf)T - FO(1+rf)T FO
Total for B - FO(1+rf)T ST
22-14
期货价格的确定
Price of Futures with Parity
由于两个策略在时间 T有相同的现金流
Since the strategies have the same flows
at time T
FO / (1 + rf)T = SO
FO = SO (1 + rf)T
期货价格一定等于持有股票的成本
The futures price has to equal the carrying
cost of the stock
22-15
股票指数合约
Stock Index Contracts
在本国和国外都有效
Available on both domestic and international
stocks
优于直接购买股票
Advantages over direct stock purchase
– 交易成本低 lower transaction costs
– 有好的时效性和组合策略
better for timing or allocation strategies
– 不用时间去考虑组合问题
takes less time to acquire the portfolio
22-16
指数套利
Index Arbitrage
在指数中的股票和期货指数中寻求价差
Exploiting mispricing between underlying stocks and
the futures index contract
期货价格高 - 卖出期货并购买指数中的股票
Futures Price too high - short the future and buy the
underlying stocks
期货价格低 - 买进期货并出售指数中的股票
Futures price too low - long the future and short
sell the underlying stocks
22-17
指数套利
Index Arbitrage
实际操作困难
Difficult to do in practice
交易成本高
Transactions costs are often too large
不能同时做多个交易额
Trades cannot be done simultaneously
22-18
小结远期合约是一种要求在未来某日以现在商定 的价格交割某项资产的合约。多头 方有义务买入资产，而空头方有义务交割资产。如果合约到期时资产价格高于远期价 格，则多头方获利，因为他是以合约价格买入资产的。
Forward contracts are arrangements that call
for future delivery of an asset at a
currently agreed-on price,The long trader is
obligated to purchase the good,and the short
trader is obligated to deliver it,If the
price of the asset at the maturity of the
contract exceeds the forward price,the long
side benefits by virtue of acquiring the good
at the contract price.
22-19
小结期货合约与远期相似，重要的差异在于标准化与盯市，即每日结算期货合约各 头寸的盈亏。而远期合约在到期以前没有现金转移。
A futures contract is similar to a forward
contract,differing most importantly in the
aspects of standardization and marking to
market,which is the process by which gains
and losses on futures contract positions are
settled daily,In contrast,forward contracts
call for no cash transfers until contract
maturity.
22-20
小结期货合约在有组织的交易所中交易，合约规模、交割资产的等级、交割日、交 割地点都是标准化的，
交易者仅需就合约价格进行谈判。标准化大大增强了市场的流动性，并使买方与卖方很容易地为所需买卖找到交易对手。
Futures contracts are traded on organized
exchanges that standardize the size of the
contract,the grade of the deliverable asset,
the delivery date,and the delivery location,
Traders negotiate only over the contract
price,This standardization creates increased
liquidity in the marketplace and means that
buyers and sellers can easily find many
traders for a desired purchase or sale.
22-21
小结清算所在每对交易者中间充当媒介，即是每个多头方的空头，也是每个空头方的多头。这样，交易者不需担心合约另一方的表现如何，实际上，每个交易都要交纳保证金以防违约。
The clearinghouse acts as an intermediary
between each pair of traders,acting as the
short position for each long,and as the long
position for each short,In this way traders
need not be concerned about the performance of
the trader on the opposite side of the contract,
In turn,traders post margins to guarantee their
own performance on the contracts.
22-22
小结在合约期间内 0至 t时间，期货多头方的损益为 Ft-F0。
由于 FT＝ PT，所以合约到期时多头方盈利为 PT-F0,PT
表示 T时的即期价格,F0是最初的期货价格。空头方损益为 F0-PT。
The gain or loss to the long side for the
futures contract held between time 0 and t is
Ft- F0,Because FT = PT,the long’s profit
if the contract is held until maturity is PT -
F0,where PT is the spot price at time T and
F0 is the original futures price,The gain or
loss to the short position is F0 -PT.
22-23
小结期货合约可用来套期保值或投机，投机者用合约来表明对资产最终价格所持的立场。空头套期保值利用空头来冲销所持资产价值所面临的损益，多头套期保值利用多头来冲销所购物价格变动带来的损益。
Futures contracts may be used for hedging or
speculating,Speculators use the contracts to
take a stand on the ultimate price of an asset,
Short hedgers take short positions in con-
tracts to offset any gains or losses on the
value of an asset already held in inventory,
Long hedgers take long positions to offset
gains or losses in the purchase price of a good.
22-24
小结现货 -期货平价关系表明某项不附带服务与收入 (如红利 )的资产的期货的均衡价格为 F0＝ P0(1＋ rf)T，
如果期货价格偏离此值，市场参与者就会获得套利利润。
The spot-futures parity relationship states
that the equilibrium futures price on an asset
providing no service or payments (such as
dividends) is F0=P0(1+rf)T,If the futures
price deviates from this value,then market
participants can earn arbitrage profits.
22-25
小结如果资产还附带服务或收入，收益率为 d，则平价关系变为 F0 ＝ P0(1＋ rf-d)T,这个模型也叫做持仓成本模型，因为它表明期货价格超出现货价格的部分实际上是将资产持至到期的净成本。
If the asset provides services or payments
with yield d,the parity relationship becomes
F0=P0(1+rf-d)T,This model is also called the
cost-of-carry model,because it states that
futures price must exceed the spot price by
the net cost of carrying the asset until
maturity date T.
22-26
小结如果即期价格有系统风险时，均衡期货价格会小于现在预期的 T 时即期价格。 这提供给承担风险的多头方一个预期盈利，也强加给空头方一个预期的损失，当然，他愿意承担可预见的损失作为规避风险的方法。
The equilibrium futures price will be less than the
currently expected time T spot price if the spot
price exhibits systematic risk,This provides an
expected profit for the long position who bears the
risk and imposes an expected loss on the short
position who is willing to accept that expected loss
as a means to shed systematic risk.
第 22章期货市场
Futures Markets
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
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
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
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
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
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.
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
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
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
22-11
期货定价
Futures Pricing
现货 -期货平价理论 -两种方法可以在未来某日得到资产
Spot-futures parity theorem - two ways to
acquire an asset for some date in the future
– 现在购买它并储存它到目标日
Purchase it now and store it
– 购买期货合约
Take a long position in futures
– 这两种策略都有相同的市场成本
These two strategies must have the same market
determined costs
22-12
平价举例
Parity Example
无现金股利的股票
Stock that pays no cash dividend
– 无储存成本 no storage costs
– 价格无季节性 no seasonal patterns in prices
策略 1：现在购买它并储存它到时间 T
Strategy 1,Buy the stock now and hold it until
time T
策略 2：今日购买到期时间为时间 T的期货合约
Strategy 2,Put funds aside today to perform on
a futures contract for delivery at time T that is
acquired today
22-13
平价举例 Parity Example Outcomes
Strategy A,Action Initial flows Flows at T
Buy stock -So ST
Strategy B,Action Initial flows Flows at T
Long futures 0 ST - FO
Invest in Bill
FO(1+rf)T - FO(1+rf)T FO
Total for B - FO(1+rf)T ST
22-14
期货价格的确定
Price of Futures with Parity
由于两个策略在时间 T有相同的现金流
Since the strategies have the same flows
at time T
FO / (1 + rf)T = SO
FO = SO (1 + rf)T
期货价格一定等于持有股票的成本
The futures price has to equal the carrying
cost of the stock
22-15
股票指数合约
Stock Index Contracts
在本国和国外都有效
Available on both domestic and international
stocks
优于直接购买股票
Advantages over direct stock purchase
– 交易成本低 lower transaction costs
– 有好的时效性和组合策略
better for timing or allocation strategies
– 不用时间去考虑组合问题
takes less time to acquire the portfolio
22-16
指数套利
Index Arbitrage
在指数中的股票和期货指数中寻求价差
Exploiting mispricing between underlying stocks and
the futures index contract
期货价格高 - 卖出期货并购买指数中的股票
Futures Price too high - short the future and buy the
underlying stocks
期货价格低 - 买进期货并出售指数中的股票
Futures price too low - long the future and short
sell the underlying stocks
22-17
指数套利
Index Arbitrage
实际操作困难
Difficult to do in practice
交易成本高
Transactions costs are often too large
不能同时做多个交易额
Trades cannot be done simultaneously
22-18
小结远期合约是一种要求在未来某日以现在商定 的价格交割某项资产的合约。多头 方有义务买入资产，而空头方有义务交割资产。如果合约到期时资产价格高于远期价 格，则多头方获利，因为他是以合约价格买入资产的。
Forward contracts are arrangements that call
for future delivery of an asset at a
currently agreed-on price,The long trader is
obligated to purchase the good,and the short
trader is obligated to deliver it,If the
price of the asset at the maturity of the
contract exceeds the forward price,the long
side benefits by virtue of acquiring the good
at the contract price.
22-19
小结期货合约与远期相似，重要的差异在于标准化与盯市，即每日结算期货合约各 头寸的盈亏。而远期合约在到期以前没有现金转移。
A futures contract is similar to a forward
contract,differing most importantly in the
aspects of standardization and marking to
market,which is the process by which gains
and losses on futures contract positions are
settled daily,In contrast,forward contracts
call for no cash transfers until contract
maturity.
22-20
小结期货合约在有组织的交易所中交易，合约规模、交割资产的等级、交割日、交 割地点都是标准化的，
交易者仅需就合约价格进行谈判。标准化大大增强了市场的流动性，并使买方与卖方很容易地为所需买卖找到交易对手。
Futures contracts are traded on organized
exchanges that standardize the size of the
contract,the grade of the deliverable asset,
the delivery date,and the delivery location,
Traders negotiate only over the contract
price,This standardization creates increased
liquidity in the marketplace and means that
buyers and sellers can easily find many
traders for a desired purchase or sale.
22-21
小结清算所在每对交易者中间充当媒介，即是每个多头方的空头，也是每个空头方的多头。这样，交易者不需担心合约另一方的表现如何，实际上，每个交易都要交纳保证金以防违约。
The clearinghouse acts as an intermediary
between each pair of traders,acting as the
short position for each long,and as the long
position for each short,In this way traders
need not be concerned about the performance of
the trader on the opposite side of the contract,
In turn,traders post margins to guarantee their
own performance on the contracts.
22-22
小结在合约期间内 0至 t时间，期货多头方的损益为 Ft-F0。
由于 FT＝ PT，所以合约到期时多头方盈利为 PT-F0,PT
表示 T时的即期价格,F0是最初的期货价格。空头方损益为 F0-PT。
The gain or loss to the long side for the
futures contract held between time 0 and t is
Ft- F0,Because FT = PT,the long’s profit
if the contract is held until maturity is PT -
F0,where PT is the spot price at time T and
F0 is the original futures price,The gain or
loss to the short position is F0 -PT.
22-23
小结期货合约可用来套期保值或投机，投机者用合约来表明对资产最终价格所持的立场。空头套期保值利用空头来冲销所持资产价值所面临的损益，多头套期保值利用多头来冲销所购物价格变动带来的损益。
Futures contracts may be used for hedging or
speculating,Speculators use the contracts to
take a stand on the ultimate price of an asset,
Short hedgers take short positions in con-
tracts to offset any gains or losses on the
value of an asset already held in inventory,
Long hedgers take long positions to offset
gains or losses in the purchase price of a good.
22-24
小结现货 -期货平价关系表明某项不附带服务与收入 (如红利 )的资产的期货的均衡价格为 F0＝ P0(1＋ rf)T，
如果期货价格偏离此值，市场参与者就会获得套利利润。
The spot-futures parity relationship states
that the equilibrium futures price on an asset
providing no service or payments (such as
dividends) is F0=P0(1+rf)T,If the futures
price deviates from this value,then market
participants can earn arbitrage profits.
22-25
小结如果资产还附带服务或收入，收益率为 d，则平价关系变为 F0 ＝ P0(1＋ rf-d)T,这个模型也叫做持仓成本模型，因为它表明期货价格超出现货价格的部分实际上是将资产持至到期的净成本。
If the asset provides services or payments
with yield d,the parity relationship becomes
F0=P0(1+rf-d)T,This model is also called the
cost-of-carry model,because it states that
futures price must exceed the spot price by
the net cost of carrying the asset until
maturity date T.
22-26
小结如果即期价格有系统风险时，均衡期货价格会小于现在预期的 T 时即期价格。 这提供给承担风险的多头方一个预期盈利，也强加给空头方一个预期的损失，当然，他愿意承担可预见的损失作为规避风险的方法。
The equilibrium futures price will be less than the
currently expected time T spot price if the spot
price exhibits systematic risk,This provides an
expected profit for the long position who bears the
risk and imposes an expected loss on the short
position who is willing to accept that expected loss
as a means to shed systematic risk.
